3 citations · 5 across the 4 of their papers we have counts for
4 papers
Optimal brokerage contracts in Almgren-Chriss model with multiple clients
Guillermo Alonso Alvarez, Sergey Nadtochiy, Kevin Webster
This paper constructs optimal brokerage contracts for multiple (heterogeneous) clients trading a single asset whose price follows the Almgren-Chriss model. The distinctive features…
Applications of a New Self-Financing Equation
Rene Carmona, Kevin Webster
The goal of this note is to illustrate the impact of a self-financing condition recently introduced by the authors. We present the analyses of two specific applications usually con…
The microstructure of high frequency markets
Rene Carmona, Kevin Webster
We present a novel approach to describing the microstructure of high frequency trading using two key elements. First we introduce a new notion of informed trader which we starkly c…
High Frequency Market Making
Rene Carmona, Kevin Webster
Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equi…