Optimal control of trading algorithms: a general impulse control approach
From MaRDI portal
Recommendations
Cited in
(31)- Impulse control problem on finite horizon with execution delay
- Mean field game of controls and an application to trade crowding
- Impulsive surfaces on dynamical systems
- Incorporating signals into optimal trading
- Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
- Impulses in driving semigroups of nonautonomous dynamical systems: application to cascade systems
- Stability and forward attractors for non-autonomous impulsive semidynamical systems
- Statistical solutions and piecewise Liouville theorem for the impulsive reaction-diffusion equations on infinite lattices
- Global attractors for impulsive dynamical systems - a precompact approach
- Optimal posting price of limit orders: learning by trading
- Weak almost periodic motions, minimality and stability in impulsive semidynamical systems
- Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis
- Market making and portfolio liquidation under uncertainty
- Drift dependence of optimal trade execution strategies under transient price impact
- Attractors of impulsive dissipative semidynamical systems
- Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities
- Algorithmic trading, stochastic control, and mutually exciting processes
- Modelling Asset Prices for Algorithmic and High-Frequency Trading
- Uniform attractors of discontinuous semidynamical systems
- Optimal trading of algorithmic orders in a liquidity fragmented market place
- Learning a functional control for high-frequency finance
- Data-driven stock trading in financial markets: an adaptive control approach
- Optimal placement in a limit order book: an analytical approach
- Real-time market microstructure analysis: online transaction cost analysis
- General intensity shapes in optimal liquidation
- Risk metrics and fine tuning of high-frequency trading strategies
- Optimal Execution: A Review
- Statistical solutions and its limiting behavior for the impulsive discrete Ginzburg-Landau equations
- Trading under the proof‐of‐stake protocol – A continuous‐time control approach
- Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making
- Optimal impulse control for cyber risk management
This page was built for publication: Optimal control of trading algorithms: a general impulse control approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3006714)