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)
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
Cited in
(only showing first 100 items - show all)- Incorporating signals into optimal trading
- Optimal accelerated share repurchases
- scientific article; zbMATH DE number 7113167 (Why is no real title available?)
- Optimal market making in the presence of latency
- Unwinding stochastic order flow: when to warehouse trades
- Optimal liquidation under stochastic price impact
- Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
- Double-Execution Strategies Using Path Signatures
- Algorithmic and high-frequency trading problems for Semi-Markov and Hawkes jump-diffusion models
- Price manipulation in a market impact model with dark pool
- Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality
- Price impact on term structure
- Optimal control on graphs: existence, uniqueness, and long-term behavior
- Optimal liquidation with signals: the general propagator case
- Handbook of Price Impact Modeling
- Stochastic control with signatures
- Optimal trade execution for Gaussian signals with power-law resilience
- Optimal placement in a limit order book: an analytical approach
- Optimal adaptive control with separable drift uncertainty
- Optimal liquidation under partial information with price impact
- Dynamic portfolio choice with return predictability and transaction costs
- Reinforcement Learning for Optimal Execution When Liquidity Is Time-Varying
- Trade Execution Games in a Markovian Environment
- Optimal liquidation through a limit order book: a neural network and simulation approach
- Optimal market making with persistent order flow
- A class of recursive optimal stopping problems with applications to stock trading
- Optimal market making
- General semi-Markov model for limit order books
- Extensions of the deep Galerkin method
- Algorithmic market making in dealer markets with hedging and market impact
- Fragmentation, price formation and cross-impact in bitcoin markets
- Optimal trading with signals and stochastic price impact
- A semi-Markovian modeling of limit order markets
- Market making with exogenous competition
- Online drift estimation for jump-diffusion processes
- Optimal generation and trading in solar renewable energy certificate (SREC) markets
- A simple microstructural explanation of the concavity of price impact
- Stochastic modelling of big data in finance
- Discrete approximation of stationary mean field games
- Optimal execution with rough path signatures
- Optimal execution with stochastic delay
- Learning multi-market microstructure from order book data
- Market making with alpha signals
- High-dimensional statistical arbitrage with factor models and stochastic control
- When order execution meets informed trading
- Market making with minimum resting times
- The econometrics of sequential trade models. Theory and applications using high frequency data.
- Closed-form Approximations in Multi-asset Market Making
- A mean field game between informed traders and a broker
- Brokers and informed traders: dealing with toxic flow and extracting trading signals
- 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
- Trading strategies within the edges of no-arbitrage
- Mean-Field Game Strategies for Optimal Execution
- Optimal portfolio execution under time-varying liquidity constraints
- 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
- Modelling of limit order books by general compound Hawkes processes with implementations
- On Regularized Optimal Execution Problems and Their Singular Limits
- Hedge and speculate: replicating option payoffs with limit and market orders
- Convergence of the Kiefer–Wolfowitz algorithm in the presence of discontinuities
- Heterogeneity and competition in fragmented markets: fees vs speed
- Optimal liquidation under indirect price impact with propagator
- An infinite-dimensional model of liquidity in financial markets
- Consistent curves in the -world: optimal bonds portfolio
- Optimal trading and competition with information in the price impact model
- Algorithmic trading in a microstructural limit order book model
- Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets
- Optimal Execution with Identity Optionality
- Optimal bubble riding: a mean field game with varying entry times
- A level-1 limit order book with time dependent arrival rates
- Optimal order execution using hidden orders
- Optimal multi-asset trading with linear costs: a mean-field approach
- Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
- High-frequency trading and probability theory
- Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
- Algorithmic trading, stochastic control, and mutually exciting processes
- Optimal trading with a trailing stop
- Incorporating order-flow into optimal execution
- Speculative futures trading under mean reversion
- Adaptive robust control in continuous time
- Optimal liquidation trajectories for the Almgren-Chriss model
- Computational Methods for Market Making Algorithms
- Deep reinforcement learning for the optimal placement of cryptocurrency limit orders
- Algorithmic trading of co-integrated assets
- High-frequency limit of Nash equilibria in a market impact game with transient price impact
- A generative model of a limit order book using recurrent neural networks
- Mean field game of controls and an application to trade crowding
- Algorithmic market making for options
- Mechanics of good trade execution in the framework of linear temporary market impact
- Algorithmic trading with learning
- A closed-form execution strategy to target volume weighted average price
- Spoofing and price manipulation in order-driven markets
- Double deep Q-learning for optimal execution
- Optimal liquidity-based trading tactics
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