Algorithmic Trading with Model Uncertainty
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Publication:4607046
DOI10.1137/16M106282XzbMath1407.91287OpenAlexW3125653313MaRDI QIDQ4607046
Ryan Donnelly, Álvaro Cartea, Sebastian Jaimungal
Publication date: 12 March 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/16m106282x
robust optimizationmodel uncertaintyambiguity aversionadverse selectionhigh-frequency tradingmarket makingalgorithmic tradingshort-term alpha
Dynamic programming (90C39) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45)
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