Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes
From MaRDI portal
Publication:4580297
DOI10.1137/18M1176968zbMath1410.91411MaRDI QIDQ4580297
Jason Ricci, Sebastian Jaimungal, Álvaro Cartea
Publication date: 14 August 2018
Published in: SIAM Review (Search for Journal in Brave)
adverse selectionHawkes processesalgorithmic tradinghigh frequency tradingmutually exciting processesshort-term-alpha
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (9)
Closed-form Approximations in Multi-asset Market Making ⋮ State-dependent Hawkes processes and their application to limit order book modelling ⋮ Portfolio liquidation games with self‐exciting order flow ⋮ Computational Methods for Market Making Algorithms ⋮ A data-driven deep learning approach for options market making ⋮ Mean-Field Game Strategies for Optimal Execution ⋮ MARKET MAKING WITH ALPHA SIGNALS ⋮ Disentangling and quantifying market participant volatility contributions ⋮ Biological population management based on a Hamilton–Jacobi–Bellman equation with boundary blow up
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