9 citations · 13 across the 3 of their papers we have counts for
4 papers
High frequency trading and asymptotics for small risk aversion in a Markov renewal model
Pietro Fodra, Huyên Pham
We study a an optimal high frequency trading problem within a market microstructure model designed to be a good compromise between accuracy and tractability. The stock price is dri…
Semi Markov model for market microstructure
Pietro Fodra, Huyên Pham
We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes. We consider a point process associate…
High-frequency market-making for multi-dimensional Markov processes
Pietro Fodra, Mauricio Labadie
In this paper we complete and extend our previous work on stochastic control applied to high frequency market-making with inventory constraints and directional bets. Our new model…
High-frequency market-making with inventory constraints and directional bets
Pietro Fodra, Mauricio Labadie
In this paper we extend the market-making models with inventory constraints of Avellaneda and Stoikov ("High-frequency trading in a limit-order book", Quantitative Finance Vol.8 No…