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Semi Markov model for market microstructure
number of pages: 25 -
Geometric rho-mixing property of the interarrival times of a stationary Marko...
The attached file may be somewhat different from the published version -
High frequency trading in a Markov renewal model
We study an optimal high frequency trading problem within a market microstructure model aiming at a good compromise between accuracy and tractability. The stock price...
