High-frequency trading in a limit order book

2008-04-28Quantitative Finance 2008Code Available0· sign in to hype

MARCO AVELLANEDA, SASHA STOIKOV

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github.com/rspadim/hft-avellaneda
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High-frequency trading in a limit order book MARCO AVELLANEDA and SASHA STOIKOV* Mathematics, New York University, 251 Mercer Street, New York, NY 10012, USA (Received 24 April 2006; in final form 3 April 2007)

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High-frequency trading in a limit order book

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