Mathematical problems in algorithmic trading and financial regulation
We study algorithmic trading strategies in order driven markets. We make three contributions to the literature. One, we show how a market maker employs information about the momentum in the price of the asset to design liquidity provision strategies. The momentum in the midprice of the asset depends...
Main Author: | Wang, Y |
---|---|
Other Authors: | Cartea, A |
Format: | Thesis |
Language: | English |
Published: |
2019
|
Subjects: |
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