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

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+.2397
@@ Property / arXiv ID: 1112.2397 / rank @@
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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
@@ Property / cites work: High-frequency trading in a limit order book / rank @@
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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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+Stochastic algorithms
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+Dealing with the inventory risk: a solution to the market making problem
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+Optimal high-frequency trading with limit and market orders
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+Q4002114
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+Stochastic approximation with averaging innovation applied to Finance
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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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