Risk metrics and fine tuning of high-frequency trading strategies
Year of publication: |
2015
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Authors: | Cartea, Álvaro ; Jaimungal, Sebastian |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 25.2015, 3, p. 576-611
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Subject: | algorithmic trading | high-frequency trading | momentum trading | market impact | adverse selection | risk metrics | inventory risk | Elektronisches Handelssystem | Electronic trading | Wertpapierhandel | Securities trading | Adverse Selektion | Adverse selection | Börsenkurs | Share price | Schätzung | Estimation | Portfolio-Management | Portfolio selection | Risiko | Risk | Anlageverhalten | Behavioural finance |
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