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A Practical Guide for Optimizing Volatility Positions with Interior Point Solvers
Silverstein, Brian - 2022
This paper examines how volatility positions can be optimally constructed by modeling the selection process as a linear … parameters to be applied in the optimization process for robust position risk management. We use implied volatility decreases …) events to construct a linear system where feasible solutions represent an investor’s optimal volatility position. Significant …
Persistent link: https://www.econbiz.de/10014236189
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Optimal execution : a review
Donnelly, Ryan - In: Applied mathematical finance 29 (2022) 3, pp. 181-212
Persistent link: https://www.econbiz.de/10013554798
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Modelling and trading the English stock market with new forecasting techniques
Karathanasopoulos, Andreas - In: Economics and Business Letters : EBL 5 (2016) 2, pp. 50-57
The motivation of this paper is to introduce a short term adaptive model (Partial Swarm Optimizer combined with linear and nonlinear models when applied to the task of forecasting and trading the daily closing returns of the FTSE100 exchange traded funds (ETFs). This is done by benchmarking its...
Persistent link: https://www.econbiz.de/10011573208
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Optimal Order Size in Pro-Rata Markets
Aldridge, Irene - 2014
Several exchanges in futures and options deploy pro-rata matching. The executed size of limit orders in pro-rata markets is never certain, unlike in price-time priority matching systems. This article derives the optimal size of limit orders in pro-rata markets given the trader's desired...
Persistent link: https://www.econbiz.de/10013061277
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Front-running scalping strategies and market manipulation : why does high-frequency trading need stricter regulation?
Manahov, Viktor - In: The financial review : the official publication of the … 51 (2016) 3, pp. 363-402
Persistent link: https://www.econbiz.de/10011550911
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Automated finance : the assumptions and behavioral aspects of algorithmic trading
Kumiega, Andrew; Vliet, Benjamin Edward van - In: The journal of behavioral finance : a publication of … 13 (2012) 1, pp. 51-55
Persistent link: https://www.econbiz.de/10009559027
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Analysis of stochastic technical trading algorithms
Höchstötter, Markus; Safarian, Mher M.; Krumetsadik, Anna - 2016
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...
Persistent link: https://www.econbiz.de/10011483715
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Algorithmic Trading for Online Portfolio Selection Under Limited Market Liquidity
Ha, Youngmin - 2020
-traded stocks show the superiority of the proposed trading algorithm in an environment of limited market liquidity …
Persistent link: https://www.econbiz.de/10012852180
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Optimizing algorithmic strategies for trading Bitcoin
Cohen, Gil - In: Computational economics 57 (2021) 2, pp. 639-654
Persistent link: https://www.econbiz.de/10012486947
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Algorithmic Trading, Optimal Execution, and Dynamic Portfolios
Kolm, Petter N.; Maclin, Lee - In: The Oxford handbook of quantitative asset management. 2012
Persistent link: https://www.econbiz.de/10012882300