High-Frequency Trading
孫立憲中央大學 上午 10:00–11:50 Tòa nhà Hồng Kinh 107 室Abstract:
We introduce the mathematical models for high frequency trading proposed by Cartea, Jaimungal and Penalva. In addition, we also discuss another models driven by jump diffusions proposed by Gueant, Lehale, Fernandez-Tapia. The value functions and the corresponding optimal quotes for the trading strategies in both models are obtained using the Hamiltonian-Jocabi-Bellman equations. The explicit solutions are given by the proper ansatz.