3 citations · 3 across the 1 of their papers we have counts for
3 papers
q-fin.TR2012★ 3 cited
Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information
Fabien Guilbaud, Huyên Pham
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-freque…
q-fin.TR2011
Optimal High Frequency Trading with limit and market orders
Fabien Guilbaud, Huyen Pham
We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, mult…
q-fin.CP2010
Numerical methods for an optimal order execution problem
Fabien Guilbaud, Mohamed Mnif, Huyên Pham
This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy exe…