Inventory Management for High-Frequency Trading with Imperfect Competition

Sebastian Herrmann, Johannes Muhle-Karbe, Dapeng Shang, Chen Yang. Inventory Management for High-Frequency Trading with Imperfect Competition. SIAM J. Financial Math., 11(1):1-26, 2020. [doi]

Authors

Sebastian Herrmann

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Johannes Muhle-Karbe

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Dapeng Shang

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Chen Yang

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