Optimal Market Making with Persistent Order Flow
نویسندگان
چکیده
Related DatabasesWeb of Science You must be logged in with an active subscription to view this.Article DataHistorySubmitted: 26 October 2020Accepted: 21 May 2021Published online: 07 September 2021KeywordsHawkes processes, market making, high frequency trading, stochastic control, partial differential equations, viscosity solutionsAMS Subject Headings68Q25, 68R10, 68U05Publication DataISSN (online): 1945-497XPublisher: Society for Industrial and Applied MathematicsCODEN: sjfmbj
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ژورنال
عنوان ژورنال: Siam Journal on Financial Mathematics
سال: 2021
ISSN: ['1945-497X']
DOI: https://doi.org/10.1137/20m1376054