Modelling Asset Prices for Algorithmic and High-Frequency Trading
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Publication:4585000
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Cites work
- A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
- Applied Probability and Queues
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Buy Low, Sell High: A High Frequency Trading Perspective
- Error bounds for convolutional codes and an asymptotically optimum decoding algorithm
- High-frequency trading in a limit order book
- How Duration Between Trades of Underlying Securities Affects Option Prices*
- Inference in hidden Markov models.
- Liquidation in limit order books with controlled intensity
- Mean-variance optimal adaptive execution
- Modelling Financial High Frequency Data Using Point Processes
- Nonparametric specification tests for conditional duration models
- Online Learning with Hidden Markov Models
- Optimal control of trading algorithms: a general impulse control approach
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
- Risk metrics and fine tuning of high-frequency trading strategies
- Selecting hidden Markov model state number with cross-validated likelihood
- The dynamic mixed hitting-time model for multiple transaction prices and times
- The Econometrics of Ultra-high-frequency Data
Cited in
(27)- Incorporating signals into optimal trading
- Optimal liquidation under partial information with price impact
- Order scoring, bandit learning and order cancellations
- Capturing the order imbalance with hidden Markov model: a case of SET50 and KOSPI50
- Optimal market-making strategies under synchronised order arrivals with deep neural networks
- Algorithmic trading with learning
- High frequency trading and asymptotics for small risk aversion in a Markov renewal model
- SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS
- Market making and portfolio liquidation under uncertainty
- Modeling the coupled return-spread high frequency dynamics of large tick assets
- Algorithmic trading, stochastic control, and mutually exciting processes
- Algorithmic trading with model uncertainty
- Optimal accelerated share repurchases
- Optimal execution with limit and market orders
- Semi-Markov model for market microstructure
- Optimal market making under partial information with general intensities
- Optimal placement in a limit order book: an analytical approach
- Algorithmic trading in a microstructural limit order book model
- General intensity shapes in optimal liquidation
- Optimal high-frequency trading in a pro rata microstructure with predictive information
- Risk metrics and fine tuning of high-frequency trading strategies
- Mean-Field Game Strategies for Optimal Execution
- Review of statistical approaches for modeling high-frequency trading data
- Machine learning architectures for price formation models
- The effect of inventory on asset prices
- Generative-discriminative machine learning models for high-frequency financial regime classification
- Reinforcement learning for trade execution with market and limit orders
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