Optimal Control of Trading Algorithms: A General Impulse Control Approach
From MaRDI portal
Publication:3006714
DOI10.1137/090777293zbMath1220.91030OpenAlexW2092249569MaRDI QIDQ3006714
Bruno Bouchard, Ngoc Minh Dang, Charles-Albert Lehalle
Publication date: 21 June 2011
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/090777293
Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)
Related Items (26)
Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis ⋮ Learning a functional control for high-frequency finance ⋮ Mean field game of controls and an application to trade crowding ⋮ Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities ⋮ MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY ⋮ Optimal posting price of limit orders: learning by trading ⋮ Stability and forward attractors for non-autonomous impulsive semidynamical systems ⋮ Drift dependence of optimal trade execution strategies under transient price impact ⋮ Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes ⋮ Attractors of impulsive dissipative semidynamical systems ⋮ Modelling Asset Prices for Algorithmic and High-Frequency Trading ⋮ Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation ⋮ Impulsive surfaces on dynamical systems ⋮ Weak almost periodic motions, minimality and stability in impulsive semidynamical systems ⋮ Unnamed Item ⋮ Uniform attractors of discontinuous semidynamical systems ⋮ Optimal trading of algorithmic orders in a liquidity fragmented market place ⋮ Incorporating signals into optimal trading ⋮ Statistical solutions and piecewise Liouville theorem for the impulsive reaction-diffusion equations on infinite lattices ⋮ Optimal placement in a limit order book: an analytical approach ⋮ Impulses in driving semigroups of nonautonomous dynamical systems: application to cascade systems ⋮ Real-time market microstructure analysis: online transaction cost analysis ⋮ GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION ⋮ RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES ⋮ Global attractors for impulsive dynamical systems - a precompact approach ⋮ Optimal Execution: A Review
This page was built for publication: Optimal Control of Trading Algorithms: A General Impulse Control Approach
