High-frequency trading in a limit order book

2008/03/29 by Marco Avellaneda, Sasha Stoikov · 16 citations
Economics, Econometrics and Finance · Decision Sciences · #Financial Markets and Investment Strategies #Complex Systems and Time Series Analysis #Stock Market Forecasting Methods

paper · doi:10.1080/14697680701381228

openalex publication_date 2008/03/29 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05

Abstract

The role of a dealer in securities markets is to provide liquidity on the exchange by quoting bid and ask prices at which he is willing to buy and sell a specific quantity of assets. Traditionally,...

Citations

• Price fluctuations from the order book perspective—empirical facts and a simple model
• Statistical properties of stock order books: empirical results and models

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• Quality-Adjusted Hit-Ratio Targeting in Corporate Bond Market Making
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• Explicit Signal-Adaptive Sequential Optimal Execution Quotes
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• Dealing with the inventory risk: a solution to the market making problem
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• Public Trader Identity: Adverse Selection and Return Predictability
• High-frequency trading [wikipedia]

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