OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION

Publisher: John Wiley & Sons Inc

E-ISSN: 1467-9965|25|3|545-575

ISSN: 0960-1627

Source: MATHEMATICAL FINANCE, Vol.25, Iss.3, 2015-07, pp. : 545-575

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Abstract