Xiangqian Meng

University of Illinois at Urbana-Champaign

601 E John St

Champaign, IL 61820

United States

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A Multiscale Model of High-Frequency Trading

Algorithmic Finance (2013), 2:1, 59-98
Number of pages: 41 Posted: 26 Apr 2012
Richard Sowers, Andrei A. Kirilenko and Xiangqian Meng
University of Illinois at Urbana-Champaign - Department of Mathematics, Imperial College London - Centre for Global Finance and Technology and University of Illinois at Urbana-Champaign
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Abstract: