Optimal posting price of limit orders: learning by trading (Q2392020): Difference between revisions

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+Optimal execution strategies in limit order books with general shape functions
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+High-frequency trading in a limit order book
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+LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
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+Exact simulation of diffusions
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+Optimal Control of Trading Algorithms: A General Impulse Control Approach
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+Optimal high-frequency trading with limit and market orders
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+Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach
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+Optimal Execution in a General One-Sided Limit-Order Book
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+Publication:2392020