Incorporating signals into optimal trading
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Publication:1739054
DOI10.1007/s00780-019-00382-7zbMath1411.91517arXiv1704.00847OpenAlexW2605897044MaRDI QIDQ1739054
Charles-Albert Lehalle, Eyal Neuman
Publication date: 24 April 2019
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1704.00847
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Related Items (18)
Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics ⋮ State-dependent Hawkes processes and their application to limit order book modelling ⋮ Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact ⋮ Optimal Liquidity-Based Trading Tactics ⋮ Optimal Trading with Signals and Stochastic Price Impact ⋮ A discrete-time optimal execution problem with market prices subject to random environments ⋮ Optimal liquidation under stochastic liquidity ⋮ Trading with the crowd ⋮ Dynamic asset-liability management with frictions ⋮ Optimal Execution with Rough Path Signatures ⋮ Closed‐loop Nash competition for liquidity ⋮ Optimal investment with a noisy signal of future stock prices ⋮ Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations ⋮ A class of optimal liquidation problem with a nonlinear temporary market impact ⋮ Reinforcement learning and stochastic optimisation ⋮ Optimal multi-asset trading with linear costs: a mean-field approach ⋮ Mechanics of good trade execution in the framework of linear temporary market impact ⋮ Optimal Execution: A Review
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