High-frequency trading in a limit order book

Marco Avellaneda, Sasha Stoikov

Research output: Contribution to journalArticle

Original languageEnglish (US)
Pages (from-to)217-224
Number of pages8
JournalQuantitative Finance
Volume8
Issue number3
DOIs
StatePublished - Apr 2008

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High-frequency trading
Limit order book

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

Cite this

High-frequency trading in a limit order book. / Avellaneda, Marco; Stoikov, Sasha.

In: Quantitative Finance, Vol. 8, No. 3, 04.2008, p. 217-224.

Research output: Contribution to journalArticle

Avellaneda, Marco ; Stoikov, Sasha. / High-frequency trading in a limit order book. In: Quantitative Finance. 2008 ; Vol. 8, No. 3. pp. 217-224.
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