喜欢读"Algorithmic and High-Frequency Trading"的人也喜欢· ··· Machine Trading8.6 Inside the Black Box8.6 Quantitative Value9.8 打开高频交易的黑箱7.4 Quantitative Momentum8.5 积极型投资组合管理8.4 Empirical Asset Pricing9.8 Algorithmic Trading9.1 Efficiently...
(2015). Algorithmic and high-frequency trading. Cambridge University Press.Cartea, A, Jaimungal, S., & Penalva, J. (2016). Algorithmic and high-frequency trading. Cambridge: Cambridge University Press.Futures Industry Association e FIA Europe (2015): "Algorithmic and High Frequency Trading", ...
Algorithmic and High-Frequency Trading 作者:?lvaroCartea出版社:Cambridge University Press出版时间:2015年08月 手机专享价 ¥ 当当价降价通知 ¥643.00 配送至 北京 至北京市东城区 服务 由“中国进口图书旗舰店”发货,并提供售后服务。 中国进口图书旗舰店...
Algorithmic TradingHigh Frequency TradingOptimal ExecutionImpulse ControlWe develop an optimal execution policy for an investor seeking to execute a large order ... lvaro Cartea,S Jaimungal - 《Quantitative Finance》 被引量: 50发表: 2016年 The minimum constraint removal problem with three robotics app...
Cartea, A., Jaimungal, S.: Modelling asset prices for algorithmic and high-frequency trading. Appl. Math. Financ. 20(6), 512-547 (2013)A. Cartea and S. Jaimungal. Modelling asset prices for algorithmic and high frequency trading. Applied Mathematical Finance, 20(6):512-547, 2013....
Cartea, A., Jaimungal, S.: Modelling asset prices for algorithmic and high-frequency trading. Appl. Math. Financ. 20(6), 512-547 (2013)A. Cartea and S. Jaimungal. Modelling asset prices for algorithmic and high-frequency trading. Applied Mathematical Finance, 20(6):512-547, 2013....
We develop a high frequency (HF) trading strategy where the HF trader uses her superior speed to process information and to past limit sell and buy orders. By introducing a multifactor mutually exciting process, we allow for feedback effects in market buy and sell orders and the shape of ...
high frequency tradingnonlinear filtrationBrownian bridgestochastic optimal controladverse selectionWe propose a model where an algorithmic trader takes a view on the distribution of prices at a future date and then decides how to trade in the direction of their predictions using the optimal mix of ...
high frequency tradingrobust optimizationambiguity aversionKnightian uncertaintyPoisson random measuresshort term alphaadverse selectionAlgorithmic traders acknowledge that their models are incorrectly speci-ed, thus we allow for ambiguity in their choices to make their models robust to misspecification in (i)...
algorithmic tradinghigh-frequency tradingco-integrationshort-term alphastochastic controlWe assume that the drift in the returns of asset prices consists of an idiosyncratic component and a common component given by a co-integration factor. We analyze the optimal investment strategy for an agent who ...