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Algorithmic Trading with Model Uncertainty - MaRDI portal

Algorithmic Trading with Model Uncertainty (Q4607046)

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scientific article; zbMATH DE number 6849034
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English
Algorithmic Trading with Model Uncertainty
scientific article; zbMATH DE number 6849034

    Statements

    title
    Algorithmic Trading with Model Uncertainty (English)
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    author
    Álvaro Cartea
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    Ryan Donnelly
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    Sebastian Jaimungal
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    publication date
    12 March 2018
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    zbMATH Keywords
    market making
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    ambiguity aversion
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    model uncertainty
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    algorithmic trading
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    high-frequency trading
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    short-term alpha
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    adverse selection
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    robust optimization
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    Identifiers

    DOI
    10.1137/16M106282X
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    Mathematics Subject Classification ID
    91G80
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    93E20
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    49K45
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    90C39
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    zbMATH DE Number
    6849034
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    OpenAlex ID
    W3125653313
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