97 citations · 798 across the 62 of their papers we have counts for
6 papers · 1 filter
Algorithmic trading in a microstructural limit order book model
Frédéric Abergel, Côme Huré, Huyên Pham
We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). In this context, the limit orders…
An optimal trading problem in intraday electricity markets
René Aïd, Pierre Gruet, Huyên Pham
We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random resi…
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…
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…
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…