Modeling uncertainty in limit order execution

DOI10.1016/J.CNSNS.2015.08.001zbMATH Open1467.91216OpenAlexW1416566318MaRDI QIDQ2199482FDOQ2199482

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)

Cites Work

• Fuzzy sets
• Optimal Portfolio Liquidation with Limit Orders
• The valuation of European options in uncertain environment
• Fuzzy defaultable bonds
• 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

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