High-frequency trading in a limit order book

@inproceedings{Avellaneda2008HighfrequencyTI,
  title={High-frequency trading in a limit order book},
  author={Marco Avellaneda and Sasha Stoikov},
  year={2008}
}
We study a stock dealer’s strategy for submitting bid and ask quotes in a limit order book. The agent faces an inventory risk due to the diffusive nature of the stock’s mid-price and a transactions risk due to a Poisson arrival of market buy and sell orders. After setting up the agent’s problem in a maximal expected utility framework, we derive the solution in a two step procedure. First, the dealer computes a personal indifference valuation for the stock, given his current inventory. Second… CONTINUE READING

Citations

Publications citing this paper.
SHOWING 1-10 OF 107 CITATIONS, ESTIMATED 16% COVERAGE

FILTER CITATIONS BY YEAR

2008
2019

CITATION STATISTICS

  • 24 Highly Influenced Citations

  • Averaged 10 Citations per year over the last 3 years

Similar Papers

Loading similar papers…