Optimization of stock trading with additional information by Limit Order Book-Reference-Cited by-同舟云学术

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Optimization of stock trading with additional information by Limit Order Book

Published:2021-05 Issue: Volume:127 Page:109507
ISSN:0005-1098
Container-title:Automatica
language:en
Short-container-title:Automatica

Author:

Xue Ruo-Bing,Ye Xiang-Shen,Cao Xi-Ren

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Electrical and Electronic Engineering,Control and Systems Engineering

Reference22 articles.

1. Optimal execution strategies in limit order books with general shape functions;Alfonsi;Quantitative Finance,2010

2. Dynamic programming and optimal control volumes I and II;Bertsekas,1995

3. Stochastic learning and optimization – A sensitivity-based approach;Cao,2007

4. Event-based optimization of Markov systems;Cao;IEEE Transactions on Automatic Control,2008

5. The price impact of order book events;Cont;Journal of Financial Economic,2014

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1. Equilibrium multi-agent model with heterogeneous views on fundamental risks;Automatica;2024-02

2. Event-Based EV Charging Scheduling in a Microgrid of Buildings;IEEE Transactions on Transportation Electrification;2023-03

3. Continuous-time modeling of financial returns based on Limit Order Book data;IFAC-PapersOnLine;2023

4. Exploration of Stock Portfolio Investment Construction Using Deep Learning Neural Network;Computational Intelligence and Neuroscience;2022-05-10

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