Limit order trading with a mean reverting reference price
Year of publication: |
2017
|
---|---|
Authors: | Ahuja, Saran ; Papanicolaou, George ; Ren, Weiluo ; Yang, Tzu-Wei |
Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 6.2017, 2, p. 121-136
|
Subject: | Limit order trading | optimal execution | stochastic optimal control | mean reverting prices | Theorie | Theory | Börsenkurs | Share price | Wertpapierhandel | Securities trading | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Mean Reversion | Mean reversion |
-
A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies
Lipton, Alexander, (2020)
-
Parallel optimization of sparse portfolios with AR-HMMs
Sipos, I. Róbert, (2017)
-
Stochastic volatility models for the implied correlation index : evidence, properties and pricing
Escobar, Marcos, (2020)
- More ...
-
Large deviations for a mean field model of systemic risk
Garnier, Josselin, (2012)
-
A risk analysis for a system stabilized by a central agent
Garnier, Josselin, (2017)
-
Competing to Coordinate : Crowding Out in Coordination Games
Bunsupha, Sarita, (2019)
- More ...