Optimal Liquidation, Acquisition and Market Making Problems in HFT under Hawkes Models for LOB
The present paper is focused on the solution of optimal control problems such as optimal acquisition, optimal liquidation, and market making in relation to the high-frequency trading market. We have modeled optimal control problems with the price approximated by the diffusion process for the general...
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| Principais autores: | , |
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| Format: | Artigo |
| Sprog: | Inglês |
| Udgivet: |
MDPI AG
2022-08-01
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| Serier: | Risks |
| Fag: | |
| Online adgang: | https://www.mdpi.com/2227-9091/10/8/160 |
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