Modeling uncertainty in limit order execution

DOI10.1016/J.CNSNS.2015.08.001MaRDI QIDQ2199482zbMATH OpenOpenAlexFDO

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 numberslimit ordersmartingalesstochastic dynamic programming

Mathematics Subject Classification ID

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

Recommendations

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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

(6)

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

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