Algorithmic trading with model uncertainty
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Cites work
- Algorithmic and high-frequency trading
- Algorithmic trading with learning
- Buy Low, Sell High: A High Frequency Trading Perspective
- Continuous-time stochastic control and optimization with financial applications
- Controlled Markov processes and viscosity solutions
- General intensity shapes in optimal liquidation
- Health and (other) asset holdings
- High-frequency trading in a limit order book
- scientific article; zbMATH DE number 4034749 (Why is no real title available?)
- scientific article; zbMATH DE number 3062303 (Why is no real title available?)
- INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
- Liquidation in limit order books with controlled intensity
- Modelling Asset Prices for Algorithmic and High-Frequency Trading
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal high-frequency trading in a pro rata microstructure with predictive information
- Optimal high-frequency trading with limit and market orders
- Optimal trade execution in illiquid markets
- Relative Entropy, Exponential Utility, and Robust Dynamic Pricing
- Risk metrics and fine tuning of high-frequency trading strategies
- Robust control and model misspecification
- Robustness
- Robustness and ambiguity in continuous time
- Transient linear price impact and Fredholm integral equations
Cited in
(47)- Mean field game of controls and an application to trade crowding
- Dynamic equilibrium of market making with price competition
- Portfolio liquidation under factor uncertainty
- Algorithmic trading with learning
- SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS
- Incorporating order-flow into optimal execution
- Market making with alpha signals
- Model uncertainty in commodity markets
- Enhancing trading strategies with order book signals
- 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
- Optimal market making
- Optimal accelerated share repurchases
- Optimal execution with limit and market orders
- Optimal liquidation under stochastic price impact
- Endogenous formation of limit order books: dynamics between trades
- The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
- Algorithmic market making for options
- Mechanics of good trade execution in the framework of linear temporary market impact
- Optimal sizing of the sediment replenishment capacity based on robust ergodic control of subordinator-driven dynamics
- Closed-form Approximations in Multi-asset Market Making
- Robust risk-aware reinforcement learning
- Optimal liquidity-based trading tactics
- Optimal trading with signals and stochastic price impact
- Optimal execution with rough path signatures
- Trading foreign exchange triplets
- Optimal market making under partial information with general intensities
- Adaptive robust control in continuous time
- Mean-Field Game Strategies for Optimal Execution
- Double-Execution Strategies Using Path Signatures
- Optimal Execution: A Review
- Size matters for OTC market makers: General results and dimensionality reduction techniques
- Algorithmic market making in dealer markets with hedging and market impact
- A Mean-Field Game of Market-Making against Strategic Traders
- Computational Methods for Market Making Algorithms
- Accelerated Share Repurchases Under Stochastic Volatility
- A data-driven deep learning approach for options market making
- Adaptive optimal market making strategies with inventory liquidation cost
- Decentralized finance and automated market making: predictable loss and optimal liquidity provision
- Optimal bubble riding with price-dependent entry: a mean field game of controls with common noise
- An approach for regime-switching stochastic control problems with memory and terminal conditions
- Market making with exogenous competition
- Brokers and informed traders: dealing with toxic flow and extracting trading signals
- Terminal wealth maximization under drift uncertainty
- Optimal liquidation under indirect price impact with propagator
- Logarithmic regret in the ergodic Avellaneda-Stoikov market making model
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