High-frequency trading in a limit order book

By Marco Avellaneda, Sasha Stoikov. 2008

553 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/98e6e6d759ac60bff783c76a8bcc60bb4282b311

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Citations in the corpus

Data-Driven Market-Making via Model-Free Learning (2020, background): “From [ Spooner et al. , 2018 ] , [ Lim and Gorse, 2018 ] and [ Doloc, 2019 ] , common benchmarks include ﬁxed spread-based strategies, random strategies, and the Avellaneda-Stoikov strategy [ Avellaneda and Stoikov, 2008 ] .”
Enhancing trading strategies with order book signals (2018, methodology): “…that mimic a market maker who is always posting at-the-touch, and this includes strategies that control exposure to inventory risk, see e.g., Avellaneda and Stoikov (2008), Guéant, Lehalle, and Fernandez-Tapia (2012), Fodra and Labadie (2012), Cartea and Jaimungal (2015) and Cartea,…”
Deep learning for limit order books (2016, unknown): “…(2015), Moallemi and Saglam (2013), Maglaras et al. (2014), Carmona and Webster (2013), Carmona and Webster (2012a), Carmona and Webster (2012b), Avellaneda and Stoikov (2008), Avellaneda et al. (2011), Blanchet and Chen (2013), Guo et al. (2015), Gao and Deng (2018), and others develop…”
Benchmark Dataset for Mid-Price Prediction of Limit Order Book data (2017, methodology): “HFT and LOB research activity also covers topics like optimal submission strategies of bid and ask orders with focus on the inventory risk which stems from asset’s value uncertainty as in the work of Avellaneda et al. in [6].”
Statistical Modeling of High-Frequency Financial Data (2011, background): “At the level of applications, models of high frequency data provide a quantitative framework for market making [8] and optimal execution of trades [2, 11, 50, 1].”
Optimal placement in a limit order book: an analytical approach (2016, unknown): “(See, for example, Ho and Stoll [32], Avellaneda and Stoikov [8], Bayraktar and Ludkovski [10], Cartea and Jaimungal [15], Cartea et al.”
Incorporating order-flow into optimal execution (2016, unknown): “And in market making see the early work of [5], and more recently, [10,11,14,22,23], and [15].”
Integer-valued Lévy processes and low latency financial econometrics (2012, background): “An interesting recent example being Avellaneda and Stoikov (2008).”
Dealing with the inventory risk: a solution to the market making problem (2011, methodology): “Avellaneda and Stoikov proposed, in a widely cited paper [3], an innovative framework for “market making in an order book”.”
Recent advances in reinforcement learning in finance (2021, methodology): “(51) While Equation (51), derived in Avellaneda and Stoikov (2008), admits a (semi) closed-form solution, which leads to nice insights about the problem, it all builds on the full analytical specification of the market dynamics.”