2 papers
q-fin.CP2021
Correlation Estimation in Hybrid Systems
Baron Law
A simple method is proposed to estimate the instantaneous correlations between state variables in a hybrid system from the empirical correlations between observable market quantiti…
q-fin.TR2019
Market Making under a Weakly Consistent Limit Order Book Model
Baron Law, Frederi Viens
We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of…