We apply the well-known CUSUM, the Girshick-Rubin, the Graversen-Peskir- Shiryaev and an improved alteration of the Brodsky-Darkovsky algorithm as trading strategies involving only mutually exclusive long positions in cash and the DAX at Xetra intraday auction prices. We select optimal pairs of...

This paper proposes an optimal intraday trading strategy to absorb the shock to the stock market when an online portfolio selection algorithm rebalances a portfolio. It considers real-time data of limit order books and splits a very large market order into a number of consecutive market orders...