Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes (Q4580297): Difference between revisions

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+Optimal execution with nonlinear impact functions and trading-enhanced risk
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+High-frequency trading in a limit order book
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+Hedging with temporary price impact
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+MDP algorithms for portfolio optimization problems in pure jump markets
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+LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
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+Stochastic optimal control. The discrete time case
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+Optimal Control of Trading Algorithms: A General Impulse Control Approach
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+Modelling security market events in continuous time: intensity based, multivariate point process models
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+Algorithmic Trading with Model Uncertainty
@@ Property / cites work: Algorithmic Trading with Model Uncertainty / rank @@
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+Modelling Asset Prices for Algorithmic and High-Frequency Trading
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+Optimal execution with limit and market orders
@@ Property / cites work: Optimal execution with limit and market orders / rank @@
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+RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES
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+A Closed-Form Execution Strategy to Target Volume Weighted Average Price
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+Incorporating order-flow into optimal execution
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+ALGORITHMIC TRADING WITH LEARNING
@@ Property / cites work: ALGORITHMIC TRADING WITH LEARNING / rank @@
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+Q5263525
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+A Stochastic Model for Order Book Dynamics
@@ Property / cites work: A Stochastic Model for Order Book Dynamics / rank @@
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+OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH
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+Q2787919
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+Normal rank
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+Dealing with the inventory risk: a solution to the market making problem
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+VWAP Execution and Guaranteed VWAP
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+Optimal high-frequency trading with limit and market orders
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+OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION
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+Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
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+Optimal accelerated share repurchases
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+Mean field games
@@ Property / cites work: Mean field games / rank @@
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+Q129396859
@@ Property / Wikidata QID: Q129396859 / rank @@
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+Publication:4580297