Incorporating order-flow into optimal execution
From MaRDI portal
Publication:300846
DOI10.1007/s11579-016-0162-zzbMath1404.91241OpenAlexW3125789262MaRDI QIDQ300846
Álvaro Cartea, Sebastian Jaimungal
Publication date: 29 June 2016
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://ora.ox.ac.uk/objects/uuid:88a23aea-ceb6-4bb0-8b59-fd594d8db92c
Related Items (46)
Learning a functional control for high-frequency finance ⋮ Extensions of the deep Galerkin method ⋮ A continuous and efficient fundamental price on the discrete order book grid ⋮ Optimal Cross-Border Electricity Trading ⋮ Mean field game of controls and an application to trade crowding ⋮ Liquidity fluctuations and the latent dynamics of price impact ⋮ Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics ⋮ Enhancing trading strategies with order book signals ⋮ Optimal trade execution for Gaussian signals with power-law resilience ⋮ Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact ⋮ Optimal Liquidity-Based Trading Tactics ⋮ Optimal pair-trade execution with generalized cross-impact ⋮ Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes ⋮ Double Deep Q-Learning for Optimal Execution ⋮ Optimal Trading with Signals and Stochastic Price Impact ⋮ Optimal Execution with Identity Optionality ⋮ A Mean-Field Game of Market-Making against Strategic Traders ⋮ A discrete-time optimal execution problem with market prices subject to random environments ⋮ Do fundamentals shape the price response? A critical assessment of linear impact models ⋮ A data-driven deep learning approach for options market making ⋮ Optimal Execution with Quadratic Variation Inventories ⋮ Optimal Execution with Rough Path Signatures ⋮ Closed‐loop Nash competition for liquidity ⋮ Optimal investment with a noisy signal of future stock prices ⋮ Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations ⋮ Optimal portfolio execution under time-varying liquidity constraints ⋮ A class of optimal liquidation problem with a nonlinear temporary market impact ⋮ Mean-Field Game Strategies for Optimal Execution ⋮ Optimal and equilibrium execution strategies with generalized price impact ⋮ OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT ⋮ MARKET MAKING WITH ALPHA SIGNALS ⋮ Incorporating signals into optimal trading ⋮ DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS ⋮ Intraday renewable electricity trading: advanced modeling and numerical optimal control ⋮ ALGORITHMIC TRADING WITH LEARNING ⋮ Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders ⋮ A Closed-Form Execution Strategy to Target Volume Weighted Average Price ⋮ Reinforcement learning and stochastic optimisation ⋮ Optimal Trading with Differing Trade Signals ⋮ Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective ⋮ Mechanics of good trade execution in the framework of linear temporary market impact ⋮ A Semi-Markovian Modeling of Limit Order Markets ⋮ Optimal execution with stochastic delay ⋮ Double-Execution Strategies Using Path Signatures ⋮ On Regularized Optimal Execution Problems and Their Singular Limits ⋮ Optimal Execution: A Review
Cites Work
- Unnamed Item
- Dealing with the inventory risk: a solution to the market making problem
- Drift dependence of optimal trade execution strategies under transient price impact
- Smooth solutions to portfolio liquidation problems under price-sensitive market impact
- No-dynamic-arbitrage and market impact
- ALGORITHMIC TRADING WITH LEARNING
- Buy Low, Sell High: A High Frequency Trading Perspective
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Optimal Execution with Dynamic Order Flow Imbalance
- High-frequency trading in a limit order book
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Algorithmic Trading with Model Uncertainty
- Optimal execution with limit and market orders
- TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
- Optimal execution strategies in limit order books with general shape functions
- GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
- RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES
- OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH
- Optimal high-frequency trading with limit and market orders
This page was built for publication: Incorporating order-flow into optimal execution
