Risk metrics and fine tuning of high-frequency trading strategies
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Cites work
- A stochastic model for order book dynamics
- Buy Low, Sell High: A High Frequency Trading Perspective
- Controlled Markov processes and viscosity solutions
- Dealing with the inventory risk: a solution to the market making problem
- Derivatives pricing with marked point processes using tick-by-tick data
- High-frequency trading in a limit order book
- How Duration Between Trades of Underlying Securities Affects Option Prices*
- Liquidation in limit order books with controlled intensity
- Modelling Asset Prices for Algorithmic and High-Frequency Trading
- Optimal control of trading algorithms: a general impulse control approach
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal high-frequency trading with limit and market orders
Cited in
(40)- Incorporating signals into optimal trading
- The self-financing equation in limit order book markets
- Dynamic equilibrium of market making with price competition
- High frequency traders and the price process
- Robust optimal investment and reinsurance of an insurer under jump-diffusion models
- Optimal liquidity provision
- Algorithmic trading with learning
- A closed-form execution strategy to target volume weighted average price
- High frequency trading and asymptotics for small risk aversion in a Markov renewal model
- Price setting of market makers: a filtering problem with endogenous filtration
- Incorporating order-flow into optimal execution
- Market making with alpha signals
- Dealing with the inventory risk: a solution to the market making problem
- Enhancing trading strategies with order book signals
- Optimal decisions in a time priority queue
- Trading strategies within the edges of no-arbitrage
- Algorithmic trading, stochastic control, and mutually exciting processes
- Modelling Asset Prices for Algorithmic and High-Frequency Trading
- Algorithmic trading with model uncertainty
- Optimal market making
- Optimal accelerated share repurchases
- Optimal execution with limit and market orders
- Optimal liquidation under stochastic price impact
- Hedge and speculate: replicating option payoffs with limit and market orders
- Optimal market making under partial information with general intensities
- Spoofing and price manipulation in order-driven markets
- Algorithmic trading in a microstructural limit order book model
- Optimal market making in the presence of latency
- Inventory management in customised liquidity pools
- On multiobjective combinatorial optimization and dynamic interim hedging of efficient portfolios
- General intensity shapes in optimal liquidation
- Optimal high-frequency trading in a pro rata microstructure with predictive information
- Mean-Field Game Strategies for Optimal Execution
- Optimal high-frequency trading with limit and market orders
- Optimal Execution: A Review
- A Leland model for delta hedging in central risk books
- A data-driven deep learning approach for options market making
- Adaptive optimal market making strategies with inventory liquidation cost
- Generative-discriminative machine learning models for high-frequency financial regime classification
- Logarithmic regret in the ergodic Avellaneda-Stoikov market making model
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