Algorithmic and High-Frequency Trading

Álvaro Cartea, Sebastian Jaimungal, José Penalva  ·  2015

Reference. Cartea, Á., Jaimungal, S. & Penalva, J. (2015). Algorithmic and High-Frequency Trading. Cambridge University Press. ISBN 978-1-107-09114-6.  [link]

  • Claim: Optimal execution, market making and statistical-arbitrage strategies can be derived as stochastic optimal-control problems.
  • Method: Stochastic control and HJB equations on models of the limit order book, grounded in empirical order-book facts.
  • Matters: The theory behind the market-making coursework: how a market maker sets quotes against inventory and adverse-selection risk.
  • Connects to: Capstone Simulator · Rao & Jelvis · Hasbrouck
  • Code: —
Algorithmic and High-Frequency Trading cover
Cover of Algorithmic and High-Frequency Trading on the Open Library.