Modeling uncertainty in limit order execution

DOI10.1016/J.CNSNS.2015.08.001MaRDI QIDQ2199482zbMATHOpenAlexFDO

Authors Rossella Agliardi

Publication date 11 September 2020

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2015.08.001

zbMATH Keywords

fuzzy numbersmartingaleslimit ordersstochastic dynamic programming

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15) Martingales with continuous parameter (60G44) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Financial applications of other theories (91G80) Fuzzy probability (60A86)

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Cites work

• Fuzzy defaultable bonds
• Fuzzy sets
• Heterogeneous trading strategies with adaptive fuzzy actor-critic reinforcement learning: a behavioral approach
• Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market
• Optimal portfolio liquidation with limit orders
• The valuation of European options in uncertain environment

Cited in

(5)

• Optimal trading strategies with limit orders
• Algorithmic trading with model uncertainty
• Optimal hedging through limit orders
• Continuous time trading of a small investor in a limit order market
• Order execution probability and order queue in limit order markets

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