Fluid-Limits of Fragmented Limit-Order Markets

By Johannes Muhle-Karbe, Eyal Neuman, Yonatan Shadmi

Published 2024-07-05

Everscope rating

1157

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Fluid limit analysis. Problem types: Market Making, Optimization.

arXiv:2407.04354 · Paper rankings

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