Algorithmic Trading with Model Uncertainty (Q4607046): 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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+OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
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+LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
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+Modelling Asset Prices for Algorithmic and High-Frequency Trading
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+RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES
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+ALGORITHMIC TRADING WITH LEARNING
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+Q5263525
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+Buy Low, Sell High: A High Frequency Trading Perspective
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+Controlled Markov processes and viscosity solutions
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+TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
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+GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
@@ Property / cites work: GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION / rank @@
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@@ Property / cites work @@
+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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+Robustness
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+Robustness and ambiguity in continuous time
@@ Property / cites work: Robustness and ambiguity in continuous time / rank @@
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+Robust control and model misspecification
@@ Property / cites work: Robust control and model misspecification / rank @@
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+Health and (Other) Asset Holdings
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+Q3774629
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@@ Property / cites work @@
+INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
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+Relative Entropy, Exponential Utility, and Robust Dynamic Pricing
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+Continuous-time stochastic control and optimization with financial applications
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+Q5801485
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+https://doi.org/10.1137/16m106282x
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+W3125653313
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+Publication:4607046