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In this article, we provide a flexible framework for optimal trading in an asset listed on different venues.
User’s guide to viscosity solutions of second order partial differential equations
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Returns on adrs and arbitrage in emerging markets
R. Rabinovitch, A. C. Silva, and R. Susmel · 2003
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Equity market impact
R. Almgren, C. Thum, E. Hauptmann, and H. Li · 2005
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B. Bouchard · 2007
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A dynamic algorithm for smart order routing
R. Almgren and B. Harts · 2008
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High-frequency trading in a limit order book
M. Avellaneda and S. Stoikov · 2008
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Second-order elliptic integro-differential equations: viscosity solutions’ theory revisited
G. Barles and C. Imbert · 2008
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Option market making under inventory risk
S. Stoikov and M. Sağlam · 2009
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No-dynamic-arbitrage and market impact
J. Gatheral · 2010
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Forecasting prices from level-i quotes in the presence of hidden liquidity
M. Avellaneda, J. Reed, and S. Stoikov · 2011
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Optimal split of orders across liquidity pools: a stochastic algorithm approach
S. Laruelle, C.-A. Lehalle, and G. Pages · 2011
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Arbitrage and the law of one price in the market for american depository receipts
H. Alsayed and F. McGroarty · 2012
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Dealing with the inventory risk: a solution to the market making problem
O. Guéant, C.-A. Lehalle, and J. Fernandez-Tapia · 2013
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Optimal high-frequency trading with limit and market orders
F. Guilbaud and H. Pham · 2013
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Optimal order placement in limit order markets
R. Cont and A. Kukanov · 2017
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Hidden liquidity on the us stock exchanges
A. Jain and C. Jain · 2017
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Deep neural networks algorithms for stochastic control problems on finite horizon, part 2: Numerical applications, 2018
A. Bachouch, C. Huré, N. Langrené, and H. Pham · 2018
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C. Huré, H. Pham, A. Bachouch, and N. Langrené · 2018
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Algorithmic market making: the case of equity derivatives
B. Baldacci, P. Bergault, and O. Guéant · 2019
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Optimal posting price of limit orders: learning by trading
S. Laruelle, C.-A. Lehalle, and G. Pagès · 2013
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Algorithmic and high-frequency trading
Á. Cartea, S. Jaimungal, and J. Penalva · 2015
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The Financial Mathematics of Market Liquidity: From optimal execution to market making
O. Guéant · 2016
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B. Baldacci, I. Manziuk, T. Mastrolia, and M. Rosenbaum · 2019
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Size matters for otc market makers: viscosity approach and dimensionality reduction technique
P. Bergault and O. Guéant · 2019
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O. Guéant and I. Manziuk · 2019
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