Algorithmic and high-frequency trading

zbMATH Open1332.91001MaRDI QIDQ5263525FDOQ5263525

Authors: Álvaro Cartea, Sebastian Jaimungal, José S. Penalva

Publication date: 17 July 2015

Recommendations

High-frequency trading and probability theory
Algorithmic trading and quantitative strategies
The financial mathematics of market liquidity. From optimal execution to market making
The high frequency trade off between speed and sophistication
Handbook of high-frequency trading and modeling in finance

Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99) Optimal stochastic control (93E20)

Cited In (only showing first 100 items - show all)

Optimal generation and trading in solar renewable energy certificate (SREC) markets
Online drift estimation for jump-diffusion processes
Discrete approximation of stationary mean field games
Stochastic modelling of big data in finance
Optimal execution with rough path signatures
Optimal execution with stochastic delay
High-dimensional statistical arbitrage with factor models and stochastic control
Market making with alpha signals
Market making with minimum resting times
The econometrics of sequential trade models. Theory and applications using high frequency data.
Mean-Field Game Strategies for Optimal Execution
Optimal portfolio execution under time-varying liquidity constraints
Trading strategies within the edges of no-arbitrage
On Regularized Optimal Execution Problems and Their Singular Limits
Hedge and speculate: replicating option payoffs with limit and market orders
Modelling of limit order books by general compound Hawkes processes with implementations
Algorithmic trading in a microstructural limit order book model
An infinite-dimensional model of liquidity in financial markets
High-frequency trading and probability theory
A level-1 limit order book with time dependent arrival rates
Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
Optimal order execution using hidden orders
Algorithmic trading, stochastic control, and mutually exciting processes
Optimal trading with a trailing stop
Speculative futures trading under mean reversion
Incorporating order-flow into optimal execution
Adaptive robust control in continuous time
Computational Methods for Market Making Algorithms
High-frequency limit of Nash equilibria in a market impact game with transient price impact
Algorithmic trading of co-integrated assets
Deep reinforcement learning for the optimal placement of cryptocurrency limit orders
Algorithmic trading with learning
Mean field game of controls and an application to trade crowding
A closed-form execution strategy to target volume weighted average price
Optimal liquidity-based trading tactics
Market-making strategy with asymmetric information and regime-switching
Optimal market making under partial information with general intensities
Value functions in a regime switching jump diffusion with delay market model
Stationary density function for a random evolution driven by a Markov-switching Ornstein-Uhlenbeck process with finite velocity
A Mean-Field Game of Market-Making against Strategic Traders
Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds
The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
Optimal cross-border electricity trading
Stochastic maximum principle for optimal liquidation with control-dependent terminal time
Optimal portfolio execution problem with stochastic price impact
Trading strategy with stochastic volatility in a limit order book market
Optimal make–take fees for market making regulation
Optimal mean-reverting spread trading: nonlinear integral equation approach
Algorithmic trading with model uncertainty
The financial mathematics of market liquidity. From optimal execution to market making
Modelling Asset Prices for Algorithmic and High-Frequency Trading
Optimal accelerated share repurchases
Incorporating signals into optimal trading
Optimal market making in the presence of latency
Optimal liquidation under stochastic price impact
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
Double-Execution Strategies Using Path Signatures
Price manipulation in a market impact model with dark pool
Optimal control on graphs: existence, uniqueness, and long-term behavior
Optimal placement in a limit order book: an analytical approach
Optimal market making with persistent order flow
A class of recursive optimal stopping problems with applications to stock trading
Optimal liquidation under partial information with price impact
Dynamic portfolio choice with return predictability and transaction costs
Optimal market making
Fragmentation, price formation and cross-impact in bitcoin markets
General semi-Markov model for limit order books
Extensions of the deep Galerkin method
Optimal trading with signals and stochastic price impact
A semi-Markovian modeling of limit order markets
A simple microstructural explanation of the concavity of price impact
Learning multi-market microstructure from order book data
Closed-form Approximations in Multi-asset Market Making
Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions
Recent advances in reinforcement learning in finance
Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets
Optimal decisions in a time priority queue
Optimal Execution: A Review
Optimal Execution with Quadratic Variation Inventories
AHEAD: \textit{ad hoc} electronic auction design
Via order markets towards price-taking equilibrium
Adaptive optimal market making strategies with inventory liquidation cost
Convergence of the Kiefer–Wolfowitz algorithm in the presence of discontinuities
Heterogeneity and competition in fragmented markets: fees vs speed
Consistent curves in the -world: optimal bonds portfolio
Optimal trading and competition with information in the price impact model
Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets
Optimal Execution with Identity Optionality
Optimal multi-asset trading with linear costs: a mean-field approach
Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
Optimal liquidation trajectories for the Almgren-Chriss model
A generative model of a limit order book using recurrent neural networks
Algorithmic market making for options
Mechanics of good trade execution in the framework of linear temporary market impact
Spoofing and price manipulation in order-driven markets
Double deep Q-learning for optimal execution
Decentralized finance and automated market making: predictable loss and optimal liquidity provision
Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations
Improving reinforcement learning algorithms: Towards optimal learning rate policies
Towards multi‐agent reinforcement learning‐driven over‐the‐counter market simulations

This page was built for publication: Algorithmic and high-frequency trading

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5263525)