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Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.01446

Limit Order Book, market-making and algo-trading

The code used for estimating the optimal market-making strategy on a limit order book with two limits on each side. See AlgoTrading for more details.

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verified publisher icon comeh

Metadata

Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.01446

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