Algorithmic trading in a microstructural limit order book model

@article{Abergel2017AlgorithmicTI,
  title={Algorithmic trading in a microstructural limit order book model},
  author={F. Abergel and Come Hur'e and H. Pham},
  journal={Quantitative Finance},
  year={2017},
  volume={20},
  pages={1263 - 1283}
}
We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB. [...] Key Method We apply the theory of Markov Decision Processes and dynamic programming method to characterize analytically the solutions to our optimal market making problem. The second part of the paper deals with the numerical aspect of the high-dimensional trading problem.Expand
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