Fluid-Limits of Fragmented Limit-Order Markets
By Johannes Muhle-Karbe, Eyal Neuman, Yonatan Shadmi
Rating
1148
Battle Count: 213
Relevance
8/10
Provides theoretical foundations for understanding and optimizing order routing in fragmented markets, highly relevant for high-frequency trading
Implementation Complexity
7/10
Requires advanced mathematical knowledge and numerical methods for implementation
Reproducibility
4/5
The paper provides detailed mathematical proofs and derivations, enhancing reproducibility
About this paper
Methodology: Fluid limit analysis. Problem types: Market Making, Optimization.
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