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...

This book focuses on modelling financial information flows and information-based asset pricing framework. After introducing the fundamental properties of the framework, it presents a short information-theoretic perspective with a view to quantifying the information content of financial signals,...