Optimal posting price of limit orders: learning by trading (Q2392020)
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scientific article
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| English | Optimal posting price of limit orders: learning by trading |
scientific article |
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Optimal posting price of limit orders: learning by trading (English)
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6 August 2013
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stochastic approximation
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order book
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limit order
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market impact
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statistical learning
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high-frequency optimal liquidation
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Poisson process
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co-monotony principle
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0.8068503141403198
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0.8068196773529053
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0.8033850193023682
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0.7945080995559692
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0.7799612283706665
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