Fast and slow optimal trading with exogenous information - Cont, Rama; Micheli, Alessandro; Neuman, Eyal (Finance and stochastics, 2025)
Keywords: Competition; Economic Theory/Quantitative Economics/Mathematical Methods; Economics; Electronic trading systems; Equilibrium; Finance; Fredholm equations; Games; High frequency trading; Institutional investments; Insurance; Integral equations; Inventory; Investors; Management; Mathematics; Mathematics and Statistics; Probability Theory and Stochastic Processes; Quantitative Finance; Statistics for Business; Strategy; Trading; High-frequency trading; Trading signals; 60H30; C02; G11; Price impact; Market microstructure; Stochastic games; 91A65; 93E20; 45B05; Stackelberg equilibrium; 49N70; Optimal stochastic control; 49N90; Fredholm integral equations; C73; C61