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Optimal high-frequency trading in a pro rata microstructure with predictive information

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https://hal.archives-ouvertes.fr/hal-01174042
Contributor : Serena Benassù <>
Submitted on : Wednesday, July 8, 2015 - 10:41:32 AM
Last modification on : Saturday, March 28, 2020 - 2:15:00 AM

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  • HAL Id : hal-01174042, version 1

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F. Guilbaud, H. Pham. Optimal high-frequency trading in a pro rata microstructure with predictive information. Mathematical Finance, Wiley, 2015, 25 (3), pp.545-575. ⟨hal-01174042⟩

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