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Markov Equilibrium between High Frequency Traders
 Šmíd, Martin
We model an optimal behaviour of a finite number of (perhaps high frequency) traders at a limit order market with a instrument possibly paying dividends. The traders are assumed to trade continuously and to maximize their discounted consumption while keeping the probability of near-bankruptcy states at a prescribed level. The latency times, ie., the delays between the order submissions and the corresponding order books' changes, are taken into account. We show that the process describing the market is Markov given the largest among information sets of the agents.
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