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Optimal posting price of limit orders: learning by trading
15 references·2 citing·48 second hop
Optimal posting price of limit orders: learning by trading (2013)Optimal posting price of limit orders: le…A MATHEMATICAL APPROACH TO ORDER BOOK MODELING (2013)A MATHEMATICAL APPROACH TO OR…LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY (2012)LIQUIDATION IN LIMIT ORDER BO…Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach (2011)Optimal Split of Orders Acros…Optimal High Frequency Trading with Limit and Market Orders (2011)Optimal High Frequency Tradin…Optimal Execution in a General One-Sided Limit-Order Book (2011)Optimal Execution in a Genera…Optimal Control of Trading Algorithms: A General Impulse Control Approach (2011)Optimal Control of Trading Al…A Mathematical Approach to Order Book Modelling (2011)A Mathematical Approach to Or…A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones (2010)A New Approach for the Dynami…Optimal execution strategies in limit order books with general shape functions (2009)Optimal execution strategies …High-frequency trading in a limit order book (2008)High-frequency trading in a l…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Limit Order Book as a Market for Liquidity (2001)Limit Order Book as a Market …Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Stochastic Approximation Methods for Constrained and Unconstrained Systems (1978)Stochastic Approximation Meth…Learning a functional control for high-frequency finance (2022)Learning a functional control…Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty (2019)Portfolio choice, portfolio l…Controlled Markov Processes and Viscosity Solutions (2005)A Stochastic Model for Order Book Dynamics (2010)Optimal execution with limit and market orders (2015)Algorithmic Trading with Model Uncertainty (2017)Deep learning for limit order books (2018)Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Optimal Portfolio Liquidation with Limit Orders (2012)Dynamical Models of Market Impact and Algorithms for Order Execution (2013)The Cost of Transacting (1968)A Theory of Intraday Patterns: Volume and Price Variability (1988)The Limits of Arbitrage (1995)A steady-state model of the continuous double auction (2003)The Informational Content of an Open Limit Order Book (2004)Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums (2009)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales (2005)VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (2010)Large Tick Assets: Implicit Spread and Optimal Tick Size (2015)Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis (2016)Market microstructure theory (1995)Buy Low Sell High: A High Frequency Trading Perspective (2011)Dealing with the inventory risk: a solution to the market making problem (2012)Handbook of the Economics of Finance (2013)Recent advances in reinforcement learning in finance (2023)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Optimal control of execution costs (1998)No-dynamic-arbitrage and market impact (2010)Limit order books (2013)Price Dynamics in a Markovian Limit Order Market (2013)Convergence of least squares learning mechanisms in self-referential linear stochastic models (1989)Simulation Budget Allocation for Further Enhancing the Efficiency of Ordinal Optimization (2000)Monte Carlo Sampling Methods (2003)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
this work references cited by second hop

References

  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1978Stochastic Approximation Methods for Constrained and Unconstrained Systems1,459 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 2008High-frequency trading in a limit order book496 cited
  • 2009Optimal execution strategies in limit order books with general shape functions408 cited
  • 2011Optimal Execution in a General One-Sided Limit-Order Book183 cited
  • 2012LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY132 cited
  • 2010A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones104 cited
  • 2001Limit Order Book as a Market for Liquidity98 cited
  • 2011Optimal Control of Trading Algorithms: A General Impulse Control Approach92 cited
  • 2013A MATHEMATICAL APPROACH TO ORDER BOOK MODELING79 cited
  • 2011A Mathematical Approach to Order Book Modelling67 cited
  • 2011Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach61 cited
  • 2011Optimal High Frequency Trading with Limit and Market Orders58 cited

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Cited by

  • 2022Learning a functional control for high-frequency finance24 cited
  • 2019Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty23 cited