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High frequency trading and asymptotics for small risk aversion in a Markov renewal model

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https://hal.archives-ouvertes.fr/hal-01261362
Contributor : Serena Benassù <>
Submitted on : Monday, January 25, 2016 - 11:19:07 AM
Last modification on : Friday, March 27, 2020 - 4:00:18 AM

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  • HAL Id : hal-01261362, version 1

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P. Fodra, H. Pham. High frequency trading and asymptotics for small risk aversion in a Markov renewal model. SIAM Journal on Financial Mathematics, Society for Industrial and Applied Mathematics 2015, 6 (1), pp.656-684. ⟨hal-01261362⟩

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