Trading strategy with stochastic volatility in a limit order book market (Q777935)
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scientific article; zbMATH DE number 7218653
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Trading strategy with stochastic volatility in a limit order book market |
scientific article; zbMATH DE number 7218653 |
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Trading strategy with stochastic volatility in a limit order book market (English)
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8 July 2020
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limit order book (LOB)
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dynamic programming (DP)
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Hamilton-Jacobi-Bellman (HJB) equation
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market impact
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stochastic volatility (SV) model
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0.8288094997406006
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0.8081111907958984
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0.8006903529167175
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0.7975554466247559
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0.7906036376953125
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