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.
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