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ArticleOptimal posting price of limit orders: learning by trading

Sophie Laruelle2013

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Articlegreen2013

Optimal posting price of limit orders: learning by trading

Sophie Laruelle · Charles‐Albert Lehalle · Gilles Pagès

36 citations·0/0 files stored·Mathematics and Financial Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

2003Limit Theorems for Stochastic Processes 2001Optimal execution of portfolio transactions 1978Stochastic Approximation Methods for Constrained and Unconstrained Systems 1981Optimal dealer pricing under transactions and return uncertainty 2008High-frequency trading in a limit order book 2009Optimal execution strategies in limit order books with general shape functions 2011Optimal Execution in a General One-Sided Limit-Order Book 2012LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY

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2022Learning a functional control for high-frequency finance 2019Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty

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2013GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATIONarticle · 7 shared references 2016Optimal placement in a limit order book: an analytical approacharticle · 7 shared references 2013Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Processchapter · 7 shared references 2015Dynamic optimal execution in a mixed-market-impact Hawkes price modelarticle · 6 shared references 2013Drift dependence of optimal trade execution strategies under transient price impactarticle · 6 shared references 2015High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Modelarticle · 6 shared references

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Year2013

Typearticle

Published2013-03-22

VenueMathematics and Financial Economics

ISSN-L1862-9660

Languageen

Citations36

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11579-013-0096-7

openalex_workW2144428672

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