Trading strategy with stochastic volatility in a limit order book market (Q777935)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Trading strategy with stochastic volatility in a limit order book market |
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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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