Algorithmic trading, stochastic control, and mutually exciting processes
DOI10.1137/18M1176968zbMATH Open1410.91411WikidataQ129396859 ScholiaQ129396859MaRDI QIDQ4580297FDOQ4580297
Authors: Álvaro Cartea, Sebastian Jaimungal, Jason Ricci 
Publication date: 14 August 2018
Published in: SIAM Review (Search for Journal in Brave)
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adverse selectionHawkes processesalgorithmic tradinghigh frequency tradingmutually exciting processesshort-term-alpha
Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
Cites Work
- Algorithmic trading with learning
- Modelling security market events in continuous time: intensity based, multivariate point process models
- Mean field games
- Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
- Stochastic optimal control. The discrete time case
- A stochastic model for order book dynamics
- High-frequency trading in a limit order book
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal control of trading algorithms: a general impulse control approach
- Incorporating order-flow into optimal execution
- Dealing with the inventory risk: a solution to the market making problem
- Algorithmic trading with model uncertainty
- Optimal execution with limit and market orders
- Hedging with temporary price impact
- Risk metrics and fine tuning of high-frequency trading strategies
- Optimal execution of a VWAP order: a stochastic control approach
- Algorithmic and high-frequency trading
- Optimal high-frequency trading with limit and market orders
- Liquidation in limit order books with controlled intensity
- MDP algorithms for portfolio optimization problems in pure jump markets
- A closed-form execution strategy to target volume weighted average price
- Modelling Asset Prices for Algorithmic and High-Frequency Trading
- Optimal accelerated share repurchases
- The financial mathematics of market liquidity. From optimal execution to market making
- Optimal high-frequency trading in a pro rata microstructure with predictive information
- VWAP execution and guaranteed VWAP
Cited In (13)
- Market making with alpha signals
- Closed-form Approximations in Multi-asset Market Making
- Mean-Field Game Strategies for Optimal Execution
- Disentangling and quantifying market participant volatility contributions
- A data-driven deep learning approach for options market making
- Trading strategies generated by Lyapunov functions
- Computational Methods for Market Making Algorithms
- Portfolio liquidation games with self‐exciting order flow
- State-dependent Hawkes processes and their application to limit order book modelling
- Biological population management based on a Hamilton–Jacobi–Bellman equation with boundary blow up
- Convergence of policy gradient methods for finite-horizon exploratory linear-quadratic control problems
- Risk metrics and fine tuning of high-frequency trading strategies
- Data-driven stock trading in financial markets: an adaptive control approach
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