5 citations · 7 across the 4 of their papers we have counts for
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q-fin.TR2018
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…
q-fin.TR2018
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…