A liquidity taker's latency-optimal discretion is characterized by δ*_t = 2γE_{t-}[D_T]+γ+α, the solution of a random-measure FBSDE, but the optimality proof and numerical regime contain gaps.
and S \'a nchez-Betancourt, L
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.TR 1years
2019 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Latency and Liquidity Risk
A liquidity taker's latency-optimal discretion is characterized by δ*_t = 2γE_{t-}[D_T]+γ+α, the solution of a random-measure FBSDE, but the optimality proof and numerical regime contain gaps.