The authors would like to thank Rob Almgren, Tomasz Bielecki, Adrien De Larrard, Jason Ricci, and participants at the SIAM Conference on Financial Mathematics and Engineering 2012, Young Researchers Workshop on Finance Tokyo 2012, and Universidad Carlos III, Madrid. As well, the authors thank two anonymous referees for their comments which ultimately improved this paper. Finally, SJ thanks NSERC and Mprime for partially funding this work.
RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY TRADING STRATEGIES
Article first published online: 7 FEB 2013
© 2013 Wiley Periodicals, Inc.
How to Cite
Cartea, Á. and Jaimungal, S. (2013), RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY TRADING STRATEGIES. Mathematical Finance. doi: 10.1111/mafi.12023
- Article first published online: 7 FEB 2013
- Manuscript received March 2012; final revision received September 2012.
Options for accessing this content:
- If you have access to this content through a society membership, please first log in to your society website.
- If you would like institutional access to this content, please recommend the title to your librarian.
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- New Users: Please register, then proceed to purchase the article.
Login via OpenAthens
Search for your institution's name below to login via Shibboleth.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!