Buy Low, Sell High: A High Frequency Trading Perspective

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Cite
Cartea, Álvaro, et al. “Buy Low, Sell High: A High Frequency Trading Perspective”. SIAM Journal on Financial Mathematics, vol. 5, no. 1, 2014, pp. 415-44, https://doi.org/10.1137/130911196.
Cartea, Álvaro, Jaimungal, S., & Ricci, J. (2014). Buy Low, Sell High: A High Frequency Trading Perspective. SIAM Journal on Financial Mathematics, 5(1), 415-444. https://doi.org/10.1137/130911196
Cartea Álvaro, Jaimungal S, Ricci J. Buy Low, Sell High: A High Frequency Trading Perspective. SIAM Journal on Financial Mathematics. 2014;5(1):415-44.
Journal Categories
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Mathematics
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Economic theory
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Economics as a science
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Refrences
Title Journal Journal Categories Citations Publication Date
10.21314/JOR.2001.041 2000
10.21314/JOR.2001.041 2011
10.1080/1350486X.2013.771515
Modelling security market events in continuous time: Intensity based, multivariate point process models Journal of Econometrics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Commerce: Business
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 244 2007
Optimal Control of Trading Algorithms: A General Impulse Control Approach SIAM Journal on Financial Mathematics
  • Social Sciences: Finance
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 49 2011
Citations
Title Journal Journal Categories Citations Publication Date
Deep Hawkes process for high-frequency market making

 Journal of Banking and Financial Technology 2024
High frequency market making: The role of speed Journal of Econometrics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Commerce: Business
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2 2024
Optimal Option Market Making and Volatility Arbitrage SSRN Electronic Journal 2024
Untangling Universality and Dispelling Myths in Mean-Variance Optimization SSRN Electronic Journal 2024
Ergodic aspects of trading with threshold strategies

 Annals of Operations Research
  • Technology: Manufactures: Production management. Operations management
  • Science: Mathematics
  • Technology: Engineering (General). Civil engineering (General)
  • Technology: Engineering (General). Civil engineering (General)
 2023
Citations Analysis
Category Category Repetition
Science: Mathematics32
Social Sciences: Finance31
Social Sciences: Economic theory. Demography: Economics as a science31
Social Sciences: Commerce: Business27
Social Sciences: Statistics22
Technology: Manufactures: Production management. Operations management4
Technology: Engineering (General). Civil engineering (General)4
Social Sciences: Commerce: Business: Personnel management. Employment management4
Science: Mathematics: Probabilities. Mathematical statistics3
Science: Mathematics: Instruments and machines: Electronic computers. Computer science2
Technology: Mechanical engineering and machinery2
Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics2
Science: Physics1
Technology: Electrical engineering. Electronics. Nuclear engineering: Electric apparatus and materials. Electric circuits. Electric networks1
Technology: Technology (General): Industrial engineering. Management engineering1
Social Sciences: Finance: Insurance1
Science: Science (General): Cybernetics: Information theory1
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods1
The category Science: Mathematics 32 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Algorithmic Trading with Learning and was published in 2013. The most recent citation comes from a 2024 study titled Deep Hawkes process for high-frequency market making. This article reached its peak citation in 2015, with 14 citations. It has been cited in 32 different journals, 6% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 34 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year