Algorithmic and high-frequency trading
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Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; risk measures (91G70) Actuarial science and mathematical finance (91G99) Optimal stochastic control (93E20)
Recommendations
- High-frequency trading and probability theory
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- Handbook of high-frequency trading and modeling in finance
Cited in
(only showing first 100 items - show all)- The econometrics of sequential trade models. Theory and applications using high frequency data.
- Optimal order execution using hidden orders
- Speculative futures trading under mean reversion
- Mean field game of controls and an application to trade crowding
- Market-making strategy with asymmetric information and regime-switching
- Incorporating signals into optimal trading
- Online drift estimation for jump-diffusion processes
- Optimal liquidation under partial information with price impact
- Dynamic portfolio choice with return predictability and transaction costs
- Optimal trading with a trailing stop
- Optimal execution with stochastic delay
- Extensions of the deep Galerkin method
- Stochastic modelling of big data in finance
- Modelling of limit order books by general compound Hawkes processes with implementations
- An infinite-dimensional model of liquidity in financial markets
- Deep reinforcement learning for the optimal placement of cryptocurrency limit orders
- A level-1 limit order book with time dependent arrival rates
- Optimal portfolio execution problem with stochastic price impact
- Optimal mean-reverting spread trading: nonlinear integral equation approach
- Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds
- Value functions in a regime switching jump diffusion with delay market model
- Stationary density function for a random evolution driven by a Markov-switching Ornstein-Uhlenbeck process with finite velocity
- Stochastic maximum principle for optimal liquidation with control-dependent terminal time
- The financial mathematics of market liquidity. From optimal execution to market making
- Algorithmic trading with learning
- Algorithmic trading of co-integrated assets
- A closed-form execution strategy to target volume weighted average price
- General semi-Markov model for limit order books
- Incorporating order-flow into optimal execution
- Market making with alpha signals
- Optimal execution in Hong Kong given a market-on-close benchmark
- Optimal decisions in a time priority queue
- Trading strategies within the edges of no-arbitrage
- Algorithmic trading, stochastic control, and mutually exciting processes
- Modelling Asset Prices for Algorithmic and High-Frequency Trading
- High-frequency limit of Nash equilibria in a market impact game with transient price impact
- Algorithmic trading with model uncertainty
- Optimal market making
- Optimal accelerated share repurchases
- Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
- Optimal liquidation under stochastic price impact
- Hedge and speculate: replicating option payoffs with limit and market orders
- The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
- Optimal multi-asset trading with linear costs: a mean-field approach
- Algorithmic market making for options
- Mechanics of good trade execution in the framework of linear temporary market impact
- Learning a functional control for high-frequency finance
- Closed-form Approximations in Multi-asset Market Making
- Heterogeneity and competition in fragmented markets: fees vs speed
- Optimal cross-border electricity trading
- Price impact on term structure
- Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
- Optimal trade execution for Gaussian signals with power-law resilience
- Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
- Optimal liquidity-based trading tactics
- Double deep Q-learning for optimal execution
- Optimal trading with signals and stochastic price impact
- Fragmentation, price formation and cross-impact in bitcoin markets
- Optimal control on graphs: existence, uniqueness, and long-term behavior
- Optimal execution with rough path signatures
- Algorithmic trading and quantitative strategies
- Trading foreign exchange triplets
- Optimal market making under partial information with general intensities
- Spoofing and price manipulation in order-driven markets
- Optimal generation and trading in solar renewable energy certificate (SREC) markets
- Optimal placement in a limit order book: an analytical approach
- Algorithmic trading in a microstructural limit order book model
- Optimal market making in the presence of latency
- Adaptive robust control in continuous time
- Optimal market making with persistent order flow
- scientific article; zbMATH DE number 7113167 (Why is no real title available?)
- High-dimensional statistical arbitrage with factor models and stochastic control
- Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality
- Market making with minimum resting times
- Learning multi-market microstructure from order book data
- A semi-Markovian modeling of limit order markets
- Optimal portfolio execution under time-varying liquidity constraints
- Price manipulation in a market impact model with dark pool
- Mean-Field Game Strategies for Optimal Execution
- High-frequency trading and probability theory
- Optimal liquidation trajectories for the Almgren-Chriss model
- A class of recursive optimal stopping problems with applications to stock trading
- Double-Execution Strategies Using Path Signatures
- On Regularized Optimal Execution Problems and Their Singular Limits
- Optimal Execution: A Review
- Optimal Execution with Identity Optionality
- Size matters for OTC market makers: General results and dimensionality reduction techniques
- A simple microstructural explanation of the concavity of price impact
- Algorithmic market making in dealer markets with hedging and market impact
- A Mean-Field Game of Market-Making against Strategic Traders
- Optimal make–take fees for market making regulation
- On Bid and Ask Side-Specific Tick Sizes
- Computational Methods for Market Making Algorithms
- Discrete approximation of stationary mean field games
- Recent advances in reinforcement learning in finance
- Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions
- Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets
- Convergence of the Kiefer–Wolfowitz algorithm in the presence of discontinuities
- Optimal liquidation through a limit order book: a neural network and simulation approach
- A generative model of a limit order book using recurrent neural networks
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