Algorithmic trading with learning

DOI10.1142/S021902491650028XMaRDI QIDQ2814668zbMATH OpenOpenAlexFDO

Authors Álvaro Cartea, Sebastian Jaimungal, D. Kinzebulatov

Publication date 22 June 2016

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s021902491650028x

zbMATH Keywords

adverse selectionalgorithmic tradingBrownian bridgehigh frequency tradingnonlinear filtrationstochastic optimal control

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stochastic control (93E20)

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Cites work

• Algorithmic and high-frequency trading
• Algorithmic trading with model uncertainty
• Beyond hazard rates: a new framework for credit-risk modelling
• Buy Low, Sell High: A High Frequency Trading Perspective
• Dealing with the inventory risk: a solution to the market making problem
• Heat kernel models for asset pricing
• scientific article; zbMATH DE number 4205918 (Why is no real title available?)
• scientific article; zbMATH DE number 4020069 (Why is no real title available?)
• Incorporating order-flow into optimal execution
• Informed traders
• Modelling Asset Prices for Algorithmic and High-Frequency Trading
• Optimal execution with dynamic order flow imbalance
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Optimal trade execution in illiquid markets
• Risk metrics and fine tuning of high-frequency trading strategies
• Transient linear price impact and Fredholm integral equations

Cited in

(22)

• Projection pursuit based tests of normality with functional data
• Reinforcement learning equilibrium in limit order markets
• Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach
• Optimal dynamic basis trading
• Optimal posting price of limit orders: learning by trading
• Learning about latent dynamic trading demand
• Constrained dynamic futures portfolios with stochastic basis
• Adaptive execution: exploration and learning of price impact
• Algorithmic trading of co-integrated assets
• A closed-form execution strategy to target volume weighted average price
• SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS
• Incorporating order-flow into optimal execution
• Automated trading with boosting and expert weighting
• Algorithmic trading, stochastic control, and mutually exciting processes
• Algorithmic trading with model uncertainty
• Optimal accelerated share repurchases
• Optimal execution with limit and market orders
• Gaussian process-based algorithmic trading strategy identification
• scientific article; zbMATH DE number 7113167 (Why is no real title available?)
• Trading algorithms with learning in latent alpha models
• Trade Execution Games in a Markovian Environment
• Optimal stopping of Gauss-Markov bridges

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