High-frequency trading in a limit order book

Marco Avellaneda; Sasha Stoikov

doi:10.1080/14697680701381228

High-frequency trading in a limit order book

Marco Avellaneda, Sasha Stoikov

Mathematics

Research output: Contribution to journal › Article › peer-review

Original language	English (US)
Pages (from-to)	217-224
Number of pages	8
Journal	Quantitative Finance
Volume	8
Issue number	3
DOIs	https://doi.org/10.1080/14697680701381228
State	Published - Apr 2008

ASJC Scopus subject areas

General Economics, Econometrics and Finance
Finance

Access to Document

10.1080/14697680701381228

Cite this

@article{a99cd3b9cfb04535ba9b2b7db82b636c,

title = "High-frequency trading in a limit order book",

author = "Marco Avellaneda and Sasha Stoikov",

year = "2008",

month = apr,

doi = "10.1080/14697680701381228",

language = "English (US)",

volume = "8",

pages = "217--224",

journal = "Quantitative Finance",

issn = "1469-7688",

publisher = "Routledge",

number = "3",

}

TY - JOUR

T1 - High-frequency trading in a limit order book

AU - Avellaneda, Marco

AU - Stoikov, Sasha

PY - 2008/4

Y1 - 2008/4

UR - http://www.scopus.com/inward/record.url?scp=41549159813&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=41549159813&partnerID=8YFLogxK

U2 - 10.1080/14697680701381228

DO - 10.1080/14697680701381228

M3 - Article

AN - SCOPUS:41549159813

SN - 1469-7688

VL - 8

SP - 217

EP - 224

JO - Quantitative Finance

JF - Quantitative Finance

IS - 3

ER -

High-frequency trading in a limit order book

ASJC Scopus subject areas

Access to Document

Other files and links

Cite this