97 citations · 798 across the 62 of their papers we have counts for
Showing 2013 · q-fin.TRShow all
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q-fin.TR2013★ 1 cited
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…
q-fin.TR2013
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…