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High-frequency trading in a limit order book 

Authors: Marco Avellaneda ^a; Sasha Stoikov ^a

Affiliation:

a Mathematics, New York University, New York, NY 10012, USA

DOI: 10.1080/14697680701381228

Publication Frequency: 8 issues per year

Published in: Quantitative Finance, Volume 8, Issue 3 April 2008 , pages 217 - 224

Subjects: Applied Mathematics; Business Mathematics; Finance & Accounting; Financial Mathematics;

Formats available: HTML (English) : PDF (English)

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