Buy Low, Sell High: A High Frequency Trading Perspective
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/130911196
Reference18 articles.
1. Optimal execution with nonlinear impact functions and trading-enhanced risk
2. Optimal execution of portfolio transactions
3. High-frequency trading in a limit order book
4. MDP algorithms for portfolio optimization problems in pure jump markets
5. Optimal Control of Trading Algorithms: A General Impulse Control Approach
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