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A Stochastic LQR Model for Child Order Placement in Algorithmic Trading

Shen, Jackie - 2020

Modern Algorithmic Trading ("Algo") allows institutional investors and traders to liquidate or establish big security positions in a fully automated or low-touch manner. Most existing academic or industrial Algos focus on how to "slice" a big parent order into smaller child orders over a given...

Persistent link: https://www.econbiz.de/10012837206

Parallel optimization of sparse portfolios with AR-HMMs

Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578

Persistent link: https://www.econbiz.de/10011762135

Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm

Bağcı, Mahmut; Soylu, Pınar Kaya - In: Financial innovation : FIN 10 (2024), pp. 1-28

and volatility regimes. Using cointegrated price data, it is shown that increasing the number of assets in a portfolio … supports the proftability of the HFRA in an up-trend and reduces the potential loss of the HFRA in a down-trend in a high-volatility … environment. For low-volatility regimes, although increasing portfolio size marginally enhances the HFRA's proftability, the …

Persistent link: https://www.econbiz.de/10014541693

Intraday power trading : toward an arms race in weather forecasting?

Kuppelwieser, Thomas; Wozabal, David - In: OR spectrum : quantitative approaches in management 45 (2023) 1, pp. 57-83

Persistent link: https://www.econbiz.de/10014226371

Algorithmic Trading, Optimal Execution, and Dynamic Portfolios

Kolm, Petter N.; Maclin, Lee - In: The Oxford handbook of quantitative asset management. 2012

Persistent link: https://www.econbiz.de/10012882300

Optimal execution : a review

Donnelly, Ryan - In: Applied mathematical finance 29 (2022) 3, pp. 181-212

Persistent link: https://www.econbiz.de/10013554798

Automated finance : the assumptions and behavioral aspects of algorithmic trading

Kumiega, Andrew; Vliet, Benjamin Edward van - In: The journal of behavioral finance : a publication of … 13 (2012) 1, pp. 51-55

Persistent link: https://www.econbiz.de/10009559027

Optimal trading of algorithmic orders in a liquidity fragmented market place

Kumaresan, Miles; Krejić, Nataša - 2015

Persistent link: https://www.econbiz.de/10011284394

Analysis of stochastic technical trading algorithms

Höchstötter, Markus; Safarian, Mher M.; Krumetsadik, Anna - 2016

We apply the well-known CUSUM, the Girshick-Rubin, the Graversen-Peskir- Shiryaev and an improved alteration of the Brodsky-Darkovsky algorithm as trading strategies involving only mutually exclusive long positions in cash and the DAX at Xetra intraday auction prices. We select optimal pairs of...

Persistent link: https://www.econbiz.de/10011483715

Front-running scalping strategies and market manipulation : why does high-frequency trading need stricter regulation?

Manahov, Viktor - In: The financial review : the official publication of the … 51 (2016) 3, pp. 363-402

Persistent link: https://www.econbiz.de/10011550911