Understanding the Stakes of High-Frequency Trading

Frédéric Abergel; Charles-Albert Lehalle; Mathieu Rosenbaum

doi:10.3905/jot.2014.9.4.049

Understanding the Stakes of High-Frequency Trading

Frédéric Abergel, Charles-Albert Lehalle and Mathieu Rosenbaum

The Journal of Trading Fall 2014, 9 (4) 49-73; DOI: https://doi.org/10.3905/jot.2014.9.4.049

Frédéric Abergel

is a professor at Ecole Centrale Paris, and head of the laboratory of Mathematics Applied to Systems in Paris, France.

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For correspondence: frederic.abergel@ecp.fr

Charles-Albert Lehalle

is senior research manager at Capital Fund Management in Paris, France.

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For correspondence: charles-albert.lehalle@cfm.fr

Mathieu Rosenbaum

is a professor of mathematics at Université Paris VI and Ecole Polytechnique in Paris, France.

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For correspondence: mathieu.rosenbaum@polytechnique.edu

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Understanding the Stakes of High-Frequency Trading

Frédéric Abergel, Charles-Albert Lehalle, Mathieu Rosenbaum

The Journal of Trading Sep 2014, 9 (4) 49-73; DOI: 10.3905/jot.2014.9.4.049

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Understanding the Stakes of High-Frequency Trading

Frédéric Abergel, Charles-Albert Lehalle, Mathieu Rosenbaum

The Journal of Trading Sep 2014, 9 (4) 49-73; DOI: 10.3905/jot.2014.9.4.049

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