Optimal order placement in limit order markets

DOI10.1080/14697688.2016.1190030zbMath1402.91678arXiv1210.1625OpenAlexW3121752608WikidataQ64112672 ScholiaQ64112672MaRDI QIDQ4555056

Rama Cont, Arseniy Kukanov

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.1625

zbMATH Keywords

stochastic approximationsupervised learningtransaction costsmachine learninglimit order marketsalgorithmic tradingRobbins-Monro algorithmoptimal order executionexecution riskorder routing

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (14)

Queueing Dynamics and State Space Collapse in Fragmented Limit Order Book Markets ⋮ An algorithmic approach to optimal asset liquidation problems ⋮ Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks ⋮ Optimal solution of the liquidation problem under execution and price impact risks ⋮ Optimal Liquidity-Based Trading Tactics ⋮ Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters ⋮ Recent advances in reinforcement learning in finance ⋮ A Leland model for delta hedging in central risk books ⋮ Dynamic limit order placement activities and their effects on stock market quality ⋮ OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS ⋮ Order execution probability and order queue in limit order markets ⋮ Deep reinforcement learning for the optimal placement of cryptocurrency limit orders ⋮ Optimal placement in a limit order book: an analytical approach ⋮ Optimizing Execution Cost Using Stochastic Control

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