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Applied Stochastic Control in High Frequency and Algorithmic Trading

Ricci, Jason - 2014

of time, optimal high frequency trading strategies are derived via stochastic control theory and solving the … numerical procedures, where appropriate. The bridge from abstract mathematical theory to practical real-time implementation is …

Persistent link: https://www.econbiz.de/10013046433

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

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

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 limit order book trading strategies with stochastic volatility in the underlying asset

Aydoğan, Burcu; Uğur, Ömür; Aksoy, Ümit - In: Computational economics 62 (2023) 1, pp. 289-324

Persistent link: https://www.econbiz.de/10014327497

Classification of flash crashes using the Hawkes(p,q) framework

Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 22 (2022) 2, pp. 213-240

Persistent link: https://www.econbiz.de/10013167733

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

Quantifying reflexivity in financial markets : towards a prediction of flash crashes

Filimonov, Vladimir; Sornette, Didier - 2012

We introduce a new measure of activity of financial markets that provides a direct access to their level of endogeneity. This measure quantifies how much of price changes are due to endogenous feedback processes, as opposed to exogenous news. For this, we calibrate the self-excited conditional...

Persistent link: https://www.econbiz.de/10009561617

High-frequency jump analysis of the bitcoin market

Scaillet, Olivier; Treccani, Adrien; Trevisan, Christopher - 2017

We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market with trader identifiers at a tick transaction level. Jumps...

Persistent link: https://www.econbiz.de/10011762219

Improved volatility estimation based on limit order books

Bibinger, Markus; Jirak, Moritz; Reiß, Markus - 2014

, which reveals an interesting connection to the theory of Brownian excursion areas. A major application is the estimation of … the integrated squared volatility of an effcient price process Xt from intra-day order book quotes. We derive n -1/3 as … optimal convergence rate of integrated squared volatility estimation in a high-frequency framework with n observations (in …

Persistent link: https://www.econbiz.de/10010412417