The thermodynamics of high frequency markets

@inproceedings{Webster2014TheTO,
  title={The thermodynamics of high frequency markets},
  author={K. Webster},
  year={2014}
}
High Frequency Trading (HFT) represents an ever growing proportion of all financial transactions as most markets have now switched to electronic order book systems. This dissertation proposes a novel methodology to analyze idiosyncrasies of the high frequency market microstructure and embed them in classical continuous time models. The main technical result is the derivation of continuous time equations which generalize the self-financing relationships of frictionless markets to electronic… CONTINUE READING

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