@prefix dcat: <http://www.w3.org/ns/dcat#> .
@prefix dct: <http://purl.org/dc/terms/> .
@prefix foaf: <http://xmlns.com/foaf/0.1/> .
@prefix vcard: <http://www.w3.org/2006/vcard/ns#> .
@prefix xsd: <http://www.w3.org/2001/XMLSchema#> .

<https://rec.harvest-normandie.data4citizen.com/dataset/oai-hal-hal-00867113v1> a dcat:Dataset ;
    dct:description """
              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 is modeled by a Markov Renewal Process (MRP), while market orders arrive in the limit order book via a point process correlated with the stock price, and taking into account the adverse selection risk. We apply stochastic control methods in this semi-Markov framework, and show how to reduce remarkably the complexity of the associated Hamilton-Jacobi-Bellman equation by suitable change of variables that exploits the specific symmetry of the problem. We then handle numerically the remaining part of the HJB equation, simplified into an integro-ordinary differential equation, by a bidimensional Euler scheme. Statistical procedures and numerical tests for computing the optimal limit order strategies illustrate our results.
            """ ;
    dct:identifier "hal-00867113" ;
    dct:issued "2026-05-09T13:55:08.806463"^^xsd:dateTime ;
    dct:language "en" ;
    dct:modified "2026-05-09T13:55:08.806466"^^xsd:dateTime ;
    dct:publisher <https://rec.harvest-normandie.data4citizen.com/organization/cce9db95-46d9-4dc2-84b6-764215d0a002> ;
    dct:title "High frequency trading in a Markov renewal model" ;
    dcat:contactPoint [ a vcard:Organization ;
            vcard:fn "CCSD" ] ;
    dcat:distribution <https://rec.harvest-normandie.data4citizen.com/dataset/oai-hal-hal-00867113v1/resource/d1b07a8f-11ef-4180-9088-11be72b0b4d3> ;
    dcat:keyword "adverse-selection",
        "high-frequency-trading",
        "infoeu-reposemanticspreprint",
        "integro-ordinary-differential-equation",
        "marked-cox-process",
        "markov-renewal-process",
        "mathmath-prmathematics-mathprobability-mathpr",
        "preprints-working-papers-",
        "qfintrquantitative-finance-q-fintrading-and-market-microstructure-q-fintr" ;
    dcat:landingPage <https://hal.science/hal-00867113> .

<https://rec.harvest-normandie.data4citizen.com/dataset/oai-hal-hal-00867113v1/resource/d1b07a8f-11ef-4180-9088-11be72b0b4d3> a dcat:Distribution ;
    dct:format "HTML" ;
    dct:issued "2026-05-09T13:55:08.813369"^^xsd:dateTime ;
    dct:modified "2026-05-09T13:55:08.797025"^^xsd:dateTime ;
    dct:title "High frequency trading in a Markov renewal model" ;
    dcat:accessURL <https://hal.science/hal-00867113> .

<https://rec.harvest-normandie.data4citizen.com/organization/cce9db95-46d9-4dc2-84b6-764215d0a002> a foaf:Agent ;
    foaf:name "test_moissonnage_selune" .

<https://hal.science/hal-00867113> a foaf:Document .