Trading strategies within the edges of no-arbitrage

DOI10.1142/S0219024918500255zbMATH Open1398.91510OpenAlexW3122944448WikidataQ129895927 ScholiaQ129895927MaRDI QIDQ4565076FDOQ4565076

Authors: Álvaro Cartea, Sebastian Jaimungal, Jason Ricci 

Publication date: 7 June 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500255

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zbMATH Keywords

high-frequency tradingoptimal tradingstochastic controlimpulse controllimit ordersalgorithmic tradingmarket ordersno-arbitrage bounds

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Cites Work

• Title not available (Why is that?)
• Optimal Portfolio Liquidation with Limit Orders
• Applied stochastic control of jump diffusions
• Dynamic pairs trading using the stochastic control approach
• High-frequency trading in a limit order book
• Optimal trade execution: a mean quadratic variation approach
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Buy Low, Sell High: A High Frequency Trading Perspective
• Dealing with the inventory risk: a solution to the market making problem
• Algorithmic Trading with Model Uncertainty
• Optimal execution with limit and market orders
• RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES
• Title not available (Why is that?)
• Optimal high-frequency trading with limit and market orders
• Liquidation in limit order books with controlled intensity
• OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
• Model-based pairs trading in the bitcoin markets
• OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION
• Algorithmic trading of co-integrated assets

Cited In (5)

• Zero-Intelligence Trading Without Resampling
• Admissible Trading Strategies Under Transaction Costs
• On-line VWAP Trading Strategies
• Strategic trading in illiquid markets.
• No arbitrage conditions for simple trading strategies

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