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We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts.
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Aikin, S. (2006): “Trading STIR Futures : An Introduction to Short-Term Interest Rate Futures”, Harriman House Publishing, ISBN: 978-1897597811
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Karel Jane·cek, Martin Kabrhel (2007): “Matching Algorithms of International Exchanges”, working paper
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Avellaneda M. and S. Stoikov (2008): “High frequency trading in a limit order book”,
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Field J. and J. Large (2008): “Pro-Rata Matching and One-Tick Futures Markets”, preprint
2008
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Cont R. and A. de Larrard (2010): “Price Dynamics in a Markovian Limit Order Market”, preprint
2010
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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
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.
Cartea A, Jaimungal S. and J. Ricci (2011): “Buy low sell high: a high frequency trading perspective”, preprint
2011
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Guéant O., Fernandez Tapia J. and C.-A. Lehalle (2011): “Dealing with inventory risk”, preprint
2011
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Guilbaud F. and H. Pham (2011): “Optimal high frequency trading with limit and market orders”, preprint
2011
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Veraart L.A.M. (2011): ”Optimal Investment in the Foreign Exchange Market with Proportional Transaction Costs”,
2011
Later among the works it cites.
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