5 citations · 7 across the 4 of their papers we have counts for
3 papers · 1 filter
Optimal liquidity-based trading tactics
Charles-Albert Lehalle, Othmane Mounjid, Mathieu Rosenbaum
We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to fin…
Optimal inventory management and order book modeling
Nicolas Baradel, Bruno Bouchard, David Evangelista +1
We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) fir…
Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency
Charles-Albert Lehalle, Othmane Mounjid
This paper is split in three parts: first we use labelled trade data to exhibit how market participants accept or not transactions via limit orders as a function of liquidity imbal…