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Optimal Trading Strategy and Supply/Demand Dynamics Anna Obizhaeva and Jiang Wang∗ First Draft: November 15, 2004. This Draft: April 8, 2006 Abstract

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Optimal Trading Strategy and Supply/Demand Dynamics

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Obizhaeva, A. and Wang, J. (2005) Optimal Trading Strategy

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Anna Obizhaeva - Google Scholar Citations

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Obizhaeva, A. and Wang, J. (2013) Optimal Trading Strategy

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Order book resilience, price manipulation, and the

View obizhaeva-wang from ECON 2750 at MIT. Optimal Trading Strategy and Supply/Demand Dynamics Anna Obizhaeva and Jiang Wang First Draft: November 15, 2004 This Draft

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Get this from a library! Optimal trading strategy and supply/demand dynamics. [Anna Obizhaeva; Jiang Wang; National Bureau of Economic Research.]

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Obizhaeva, A. and Wang, J. (2005) Optimal Trading Strategy and Supply/Demand Dynamics. Technical Report, National Bureau of Economic Research, Cambridge. http://dx

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The main result of the paper is an explicit representation for the optimal trading strategy for a dynamics are given by Eq. (2 requiring that trading

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Optimal Placement in a Limit Order Book - UC Berkeley IEOR

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Risk/arbitrage strategies: a new concept for asset

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and Wang in [Optimal Trading Strategy and Supply/Demand Trading Strategy and Supply/Demand Dynamics, SIAM Journal on Financial Mathematics 7

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Stochastic Optimal Control and Optimization of Trading

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Optimal Strategies of High Frequency Traders - Princeton

High Frequency Trading: Price Dynamics Models Price Dynamics Models and Market Making Strategies the evolution of supply, demand and price behavior in equity