3 datasets found

We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts....

We extend the market-making models with inventory constraints of Avellaneda and Stoikov ("High-frequency trading in a limit-order book", Quantitative Finance Vol.8...

We propose a quantitative approach to some high frequency trading problematics. We are interested in several aspects of this field, from minimizing indirect trading...