Open AccessOptimal High-Frequency Trading in a Pro-Rata Microstructure with Predictive Information
Author(s) -
Fabien Guilbaud,
Huyên Pham
Publication year - 2012
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2040867
Subject(s) - high frequency trading , futures contract , context (archaeology) , market microstructure , limit (mathematics) , econometrics , pairs trade , order book , economics , futures market , poisson distribution , computer science , financial economics , order (exchange) , market liquidity , algorithmic trading , monetary economics , mathematics , statistics , finance , paleontology , mathematical analysis , alternative trading system , biology
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