Optimal High Frequency Trading with limit and market orders

Avellaneda M. and S. Stoikov (2008): “High frequency trading in a limit order book”,

2008

Earlier work this paper cites.

Frey S. and Grammig (2008): “Liquidity supply and adverse selection in a pure limit order book market”

2008

Earlier work this paper cites.

Stoikov S. and M. Saglam (2009): “Option market making under inventory risk”,

2009

Earlier work this paper cites.

Cont R., Stoikov S. and R. Talreja (2010): “A stochastic model for order book dynamics”,

2010

Earlier work this paper cites.

Gould M.D., Porter M.A, Williams S., McDonald M., Fenn D.J. and S.D. Howison (2010): “The limit order book: a survey”, preprint

2010

Earlier work this paper cites.

Grillet-Aubert L. (2010): “Négociation d’actions: une revue de la littérature à l’usage des régulateurs de marché”,

2010

Cited alongside, same era.

Hendershott T., Jones C.M. and A.J. Menkveld (2010): “Does algorithmic trading improve liquidity?”,

2010

Cited alongside, same era.

Kühn C. and M. Stroh (2010): ”Optimal portfolios of a small investor in a limit order market: a shadow price approach”,

2010

Cited alongside, same era.

Bayraktar E. and M. Ludkovski (2011): “Liquidation in limit order books with controlled intensity”, available at: arXiv:1105.0247

Original

2011

Cited alongside, same era.

Cartea A. and S. Jaimungal (2011): “Modeling Asset Prices for Algorithmic and High Frequency Trading”, preprint University of Toronto

2011

Closest in time.

Guéant O., Fernandez Tapia J. and C.-A. Lehalle (2011): “Dealing with inventory risk”, preprint

2011

Closest in time.

A.J. Menkveld (2011): ”High frequency trading and the new-market makers”, preprint

2011

Closest in time.

Veraart L.A.M. (2011): ”Optimal Investment in the Foreign Exchange Market with Proportional Transaction Costs”,

2011

Closest in time.