Online Learning in Limit Order Book Trade Execution

DOI10.1109/TSP.2018.2858188MaRDI QIDQ4622365zbMATH OpenOpenAlexWikidataFDO

Authors N. Akbarzadeh, Cem Tekin, Mihaela van der Schaar

Publication date 12 February 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2018.2858188

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10) Financial applications of other theories (91G80)

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Cited in

(3)

• Order scoring, bandit learning and order cancellations
• Deep learning for limit order books
• Optimal liquidation through a limit order book: a neural network and simulation approach

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