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Trading co-integrated assets with price impact
Cartea, Álvaro; Gan, Luhui; Jaimungal, Sebastian - In: Mathematical Finance 29 (2018) 2, pp. 542-567
Persistent link: https://www.econbiz.de/10012095153
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Trading algorithms with learning in latent alpha models
Casgrain, Philippe; Jaimungal, Sebastian - In: Mathematical Finance 29 (2018) 3, pp. 735-772
Persistent link: https://www.econbiz.de/10012095162
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Mean‐field games with differing beliefs for algorithmic trading
Casgrain, Philippe; Jaimungal, Sebastian - In: Mathematical Finance 30 (2020) 3, pp. 995-1034
Persistent link: https://www.econbiz.de/10012192414
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Hedging nontradable risks with transaction costs and price impact
Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian - In: Mathematical Finance 30 (2020) 3, pp. 833-868
Persistent link: https://www.econbiz.de/10012283196