Learning a functional control for high-frequency finance
Year of publication: |
2022
|
---|---|
Authors: | Leal, Laura ; Lauriere, Mathieu ; Lehalle, Charles-Albert |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 11, p. 1973-1987
|
Subject: | Market microstructure | Neural networks | Optimal control | Optimal execution | Quantitative finance | Stochastic optimization | Neuronale Netze | Marktmikrostruktur | Kontrolltheorie | Control theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Finanzmarkt | Financial market | Mathematische Optimierung | Mathematical programming | Optionspreistheorie | Option pricing theory | Dynamische Optimierung | Dynamic programming |
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