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Modelling asset prices for algorithmic and high-frequency trading
Cartea, Álvaro; Jaimungal, Sebastian - In: Applied mathematical finance 20 (2013) 5/6, pp. 512-547
Persistent link: https://www.econbiz.de/10010235563
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Enhancing trading strategies with order book signals
Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian - In: Applied mathematical finance 25 (2018) 1/2, pp. 1-35
Persistent link: https://www.econbiz.de/10011959112
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Spoofing and price manipulation in order-driven markets
Cartea, Álvaro; Jaimungal, Sebastian; Wang, Yixuan - In: Applied mathematical finance 27 (2020) 1/2, pp. 67-98
Persistent link: https://www.econbiz.de/10012254104
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Assessing the performance of different volatility estimators : a Monte Carlo analysis
Cartea, Álvaro; Karyampas, Dimitrios - In: Applied mathematical finance 19 (2012) 5/6, pp. 535-552
Persistent link: https://www.econbiz.de/10009710928
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Predictable losses of liquidity provision in constant function markets and concentrated liquidity markets
Cartea, Álvaro; Drissi, Fayçal; Monga, Marcello - In: Applied mathematical finance 30 (2023) 2, pp. 69-93
Persistent link: https://www.econbiz.de/10014443350
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Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
Hikspoors, Samuel; Jaimungal, Sebastian - In: Applied mathematical finance 15 (2008) 5, pp. 449-478
Persistent link: https://www.econbiz.de/10008715283
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Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
Hikspoors, Samuel; Jaimungal, Sebastian - In: Applied mathematical finance 15 (2008) 5, pp. 449-478
Persistent link: https://www.econbiz.de/10008716622
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Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
Hikspoors, Samuel; Jaimungal, Sebastian - In: Applied mathematical finance 15 (2008) 5, pp. 449-478
Persistent link: https://www.econbiz.de/10008155115
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Deep Q-learning for Nash equilibria : Nash-DQN
Casgrain, Philippe; Ning, Brian; Jaimungal, Sebastian - In: Applied mathematical finance 29 (2022) 1, pp. 62-78
Persistent link: https://www.econbiz.de/10013554784
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Asymptotic pricing of commodity derivatives using stochastic volatility spot models
Hikspoors, Samuel; Jaimungal, Sebastian - In: Applied mathematical finance 15 (2008) 5/6, pp. 449-477
Persistent link: https://www.econbiz.de/10003815252