Optimal execution in high-frequency trading with Bayesian learning
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Publication:1619842
DOI10.1016/J.PHYSA.2016.06.021zbMath1400.91676OpenAlexW2414603688MaRDI QIDQ1619842
Bian Du, Jingdong Zhao, Hongliang Zhu
Publication date: 13 November 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2016.06.021
Cites Work
- Portfolio choice under transitory price impact
- Optimal order display in limit order markets with liquidity competition
- Simple stochastic order-book model of swarm behavior in continuous double auction
- An analysis of price impact function in order-driven markets
- Mean–Variance Optimal Adaptive Execution
- LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
- Optimal Execution in a General One-Sided Limit-Order Book
- The Long Memory of the Efficient Market
- Optimal Liquidity Trading*
- Order book approach to price impact
- Institutional Investors and Stock Market Volatility
- High-frequency trading in a limit order book
- Anomalous waiting times in high-frequency financial data
- Price fluctuations from the order book perspective - empirical facts and a simple model
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