High-frequency trading in a limit order book

@article{Avellaneda2008HighfrequencyTI,
  title={High-frequency trading in a limit order book},
  author={M. Avellaneda and S. Stoikov},
  journal={Quantitative Finance},
  year={2008},
  volume={8},
  pages={217 - 224}
}
The role of a dealer in securities markets is to provide liquidity on the exchange by quoting bid and ask prices at which he is willing to buy and sell a specific quantity of assets. Traditionally,... 
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