On parametric optimal execution and machine learning surrogates-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

On parametric optimal execution and machine learning surrogates

Published:2023-12-19 Issue:1 Volume:24 Page:15-34
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Chen Tao¹,Ludkovski Mike²^ORCID,Voß Moritz³^ORCID

Affiliation:

1. Department of Mathematics, University of Michigan, 530 Church Street, Ann Arbor, MI 48109-1043, USA

2. Department of Statistics & Applied Probability, University of California Santa Barbara, Santa Barbara, CA 93106-3110, USA

3. Department of Mathematics, University of California Los Angeles, Los Angeles, CA 90095, USA

Funder

Division of Mathematical Sciences

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2282657

Reference54 articles.

1. Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models

2. Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters

3. Al-Aradi A. Correia A. Naiff D. Jardim G. and Saporito Y. Solving nonlinear and high-dimensional partial differential equations via deep learning. Preprint 2018. arXiv:1811.08782.

4. Al-Aradi A. Correia A. Naiff D. d. F. Jardim G. and Saporito Y. Applications of the deep Galerkin method to solving partial integro-differential and Hamilton-Jacobi-Bellman equations. Preprint 2019. arXiv:1912.01455.

5. Optimal Execution and Price Manipulations in Time-varying Limit Order Books

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP