Gayduk, Roman; Nadtochiy, Sergey Control-stopping games for market microstructure and beyond. (English) Zbl 07291317 Math. Oper. Res. 45, No. 4, 1289-1317 (2020). MSC: 91A55 91A05 91A80 91B26 PDF BibTeX XML Cite \textit{R. Gayduk} and \textit{S. Nadtochiy}, Math. Oper. Res. 45, No. 4, 1289--1317 (2020; Zbl 07291317) Full Text: DOI
Gayduk, Roman; Nadtochiy, Sergey Liquidity effects of trading frequency. (English) Zbl 1411.91501 Math. Finance 28, No. 3, 839-876 (2018). MSC: 91G10 91A80 PDF BibTeX XML Cite \textit{R. Gayduk} and \textit{S. Nadtochiy}, Math. Finance 28, No. 3, 839--876 (2018; Zbl 1411.91501) Full Text: DOI
Gayduk, Roman; Nadtochiy, Sergey Endogenous formation of limit order books: dynamics between trades. (English) Zbl 1388.91144 SIAM J. Control Optim. 56, No. 3, 1577-1619 (2018). MSC: 91G80 91A13 93E20 PDF BibTeX XML Cite \textit{R. Gayduk} and \textit{S. Nadtochiy}, SIAM J. Control Optim. 56, No. 3, 1577--1619 (2018; Zbl 1388.91144) Full Text: DOI