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]
@article{HerrmannMSY20,
title = {Inventory Management for High-Frequency Trading with Imperfect Competition},
author = {Sebastian Herrmann and Johannes Muhle-Karbe and Dapeng Shang and Chen Yang},
year = {2020},
doi = {10.1137/18M1207776},
url = {https://doi.org/10.1137/18M1207776},
researchr = {https://researchr.org/publication/HerrmannMSY20},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {11},
number = {1},
pages = {1-26},
}