Optimal market-making strategies under synchronised order arrivals with deep neural networks
So Eun Choi, Hyun Jin Jang, Kyungsub Lee, Harry Zheng
| Year of publication: |
2021
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|---|---|
| Authors: | Choi, So Eun ; Jang, Hyun Jin ; Lee, Kyungsub ; Zheng, Harry |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 125.2021, p. 1-25
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| Subject: | Optimal strategy | Order arrival models | Synchrony | High-dimensional hamilton-Jacobi-Bellman | Deep neural network | Neuronale Netze | Neural networks | Theorie | Theory | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2021.104098 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012666978