Algorithmic trading, stochastic control, and mutually exciting processes
We develop a high frequency (HF) trading strategy where the HF trader uses her superior speed to process information and to post limit sell and buy orders. By introducing a multifactor mutually exciting process, we allow for feedback effects in market buy and sell orders and the shape of the limit o...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
Society for Industrial and Applied Mathematics
2018
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