Trading algorithms with learning in latent alpha models

DOI10.1111/mafi.12194zbMath1426.91241arXiv1806.04472OpenAlexW3125537810MaRDI QIDQ5241561

Sebastian Jaimungal, Philippe Casgrain

Publication date: 31 October 2019

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.04472

zbMATH Keywords

stochastic controlmachine learningstatistical arbitragealpha signalsoptimal trading algorithms

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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A mean field game inverse problem ⋮ Liquidity fluctuations and the latent dynamics of price impact ⋮ Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact ⋮ Optimal investment with a noisy signal of future stock prices ⋮ Optimal accelerated share repurchases ⋮ Optimal Market Making under Partial Information with General Intensities ⋮ Continuous-time mean field games with finite state space and common noise ⋮ Optimal liquidation under partial information with price impact ⋮ Price formation and optimal trading in intraday electricity markets ⋮ Reinforcement learning and stochastic optimisation ⋮ Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty ⋮ Mechanics of good trade execution in the framework of linear temporary market impact ⋮ Optimal Execution: A Review

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