Optimal posting price of limit orders: learning by trading

DOI10.1007/s11579-013-0096-7zbMath1306.91148arXiv1112.2397OpenAlexW2144428672MaRDI QIDQ2392020

Gilles Pagès, Sophie Laruelle, Charles-Albert Lehalle

Publication date: 6 August 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.2397

zbMATH Keywords

stochastic approximationPoisson processstatistical learningmarket impactlimit orderorder bookco-monotony principlehigh-frequency optimal liquidation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic approximation (62L20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (12)

Importance sampling and statistical Romberg method for Lévy processes ⋮ Learning a functional control for high-frequency finance ⋮ On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter ⋮ Mean field game of controls and an application to trade crowding ⋮ Optimal execution in Hong Kong given a market-on-close benchmark ⋮ Optimal order placement in limit order markets ⋮ Optimal Liquidity-Based Trading Tactics ⋮ Adaptive importance sampling for multilevel Monte Carlo Euler method ⋮ On Stochastic Gradient Langevin Dynamics with Dependent Data Streams: The Fully Nonconvex Case ⋮ A Closed-Form Execution Strategy to Target Volume Weighted Average Price ⋮ Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty ⋮ Real-time market microstructure analysis: online transaction cost analysis

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Dealing with the inventory risk: a solution to the market making problem
• Stochastic approximation methods for constrained and unconstrained systems
• Stochastic algorithms
• Exact simulation of diffusions
• Stochastic approximation with averaging innovation applied to Finance
• LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
• Optimal Execution in a General One-Sided Limit-Order Book
• Optimal Control of Trading Algorithms: A General Impulse Control Approach
• High-frequency trading in a limit order book
• Optimal execution strategies in limit order books with general shape functions
• Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach
• Optimal high-frequency trading with limit and market orders

This page was built for publication: Optimal posting price of limit orders: learning by trading