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Incorporating signals into optimal trading
16 references·2 citing·44 second hop
Incorporating signals into optimal trading (2019)Incorporating signals into optimal tradingThe Financial Mathematics of Market Liquidity (2016)The Financial Mathematics of …High-Frequency Trading around Large Institutional Orders (2015)High-Frequency Trading around…Simulating and Analyzing Order Book Data: The Queue-Reactive Model (2014)Simulating and Analyzing Orde…The Price Impact of Order Book Events (2013)The Price Impact of Order Boo…Optimal Trading with Stochastic Liquidity and Volatility (2012)Optimal Trading with Stochast…Optimal trading strategy and supply/demand dynamics (2012)Optimal trading strategy and …Optimal trade execution: A mean quadratic variation approach (2012)Optimal trade execution: A me…Optimal Portfolio Liquidation with Limit Orders (2012)Optimal Portfolio Liquidation…TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS (2011)TRANSIENT LINEAR PRICE IMPACT…Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem (2011)Order Book Resilience, Price …Optimal execution strategies in limit order books with general shape functions (2009)Optimal execution strategies …Continuous-time Stochastic Control and Optimization with Financial Applications (2009)Continuous-time Stochastic Co…Statistical Arbitrage in the U.S. Equities Market (2008)Statistical Arbitrage in the …Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimal control of execution costs (1998)Optimal control of execution …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact (2022)Optimal Signal-Adaptive Tradi…Optimal liquidation under stochastic liquidity (2017)Optimal liquidation under sto…Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Optimal Execution in a General One-Sided Limit-Order Book (2011)A probabilistic weak formulation of mean field games and applications (2015)Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Common factors in prices, order flows, and liquidity (2001)Stealth-trading: Which traders' trades move stock prices? (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Range‐Based Estimation of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Volatility forecast comparison using imperfect volatility proxies (2010)The Relation Between Price Changes and Trading Volume: A Survey (1987)Inferring Trade Direction from Intraday Data (1991)Hawkes model for price and trades high-frequency dynamics (2014)Price Discovery without Trading: Evidence from Limit Orders (2019)Universal features of price formation in financial markets: perspectives from deep learning (2019)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)No-dynamic-arbitrage and market impact (2010)Limit order books (2013)Price Dynamics in a Markovian Limit Order Market (2013)A Theory of Intraday Patterns: Volume and Price Variability (1988)A Stochastic Model for Order Book Dynamics (2010)Information, trade and common knowledge (1982)Does Algorithmic Trading Improve Liquidity? (2011)High frequency trading and extreme price movements (2018)Glued to the TV: Distracted Noise Traders and Stock Market Liquidity (2019)Do High-Frequency Traders Anticipate Buying and Selling Pressure? (2020)Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean reversion in stock prices (1988)Common Factors Affecting Bond Returns (1991)STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK (2016)Large data sets and machine learning: Applications to statistical arbitrage (2019)Forecasting directional movements of stock prices for intraday trading using LSTM and random forests (2022)Optimal high-frequency trading with limit and market orders (2012)Probabilistic Analysis of Mean-Field Games (2013)Stochastic Differential Equations (2014)
this work references cited by second hop

References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 1998Optimal control of execution costs1,056 cited
  • 2009Continuous-time Stochastic Control and Optimization with Financial Applications1,041 cited
  • 2012Optimal trading strategy and supply/demand dynamics560 cited
  • 2009Optimal execution strategies in limit order books with general shape functions408 cited
  • 2008Statistical Arbitrage in the U.S. Equities Market375 cited
  • 2013The Price Impact of Order Book Events348 cited
  • 2015High-Frequency Trading around Large Institutional Orders252 cited
  • 2011TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS186 cited
  • 2012Optimal trade execution: A mean quadratic variation approach160 cited
  • 2012Optimal Portfolio Liquidation with Limit Orders155 cited
  • 2014Simulating and Analyzing Order Book Data: The Queue-Reactive Model153 cited
  • 2012Optimal Trading with Stochastic Liquidity and Volatility146 cited
  • 2011Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem140 cited

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2016
The Financial Mathematics of Market Liquidity
140 cited

Cited by

  • 2022Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact42 cited
  • 2017Optimal liquidation under stochastic liquidity37 cited