Before revision: We develop from the ground up a new market-making model tailor-made for high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure.
After revision: We develop from the ground up a new market-making model , from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure.