Gaussian process-based algorithmic trading strategy identification

DOI10.1080/14697688.2015.1011684MaRDI QIDQ4683063zbMATH OpenOpenAlexFDO

Authors Steve Y. Yang, Qifeng Qiao, Andrei Kirilenko, Peter A. Beling, W. T. Scherer

Publication date 19 September 2018

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2015.1011684

zbMATH Keywords

algorithmic tradingbehavioural financeGaussian processhigh-frequency tradinginverse reinforcement learningMarkov decision processsupport vector machine

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 3126094 (Why is no real title available?)
• No-dynamic-arbitrage and market impact

Cited in

(5)

• Detecting intraday financial market states using temporal clustering
• Deep learning for limit order books
• Disentangling and quantifying market participant volatility contributions
• Discovering the ecosystem of an electronic financial market with a dynamic machine-learning method
• Gated Bayesian networks for algorithmic trading

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