181 citations · 548 across the 46 of their papers we have counts for
5 papers · 1 filter
Optimal Execution with Quadratic Variation Inventories
Rene Carmona, Laura Leal
The first half of the paper is devoted to description and implementation of statistical tests arguing for the presence of a Brownian component in the inventories and wealth process…
Applications of a New Self-Financing Equation
Rene Carmona, Kevin Webster
The goal of this note is to illustrate the impact of a self-financing condition recently introduced by the authors. We present the analyses of two specific applications usually con…
The microstructure of high frequency markets
Rene Carmona, Kevin Webster
We present a novel approach to describing the microstructure of high frequency trading using two key elements. First we introduce a new notion of informed trader which we starkly c…
The Self-Financing Equation in High Frequency Markets
Rene Carmona, Kevin Webster
High Frequency Trading (HFT) represents an ever growing proportion of all financial transactions as most markets have now switched to electronic order book systems. The main goal o…
High Frequency Market Making
Rene Carmona, Kevin Webster
Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equi…