Incorporating signals into optimal trading

DOI10.1007/s00780-019-00382-7zbMath1411.91517arXiv1704.00847OpenAlexW2605897044MaRDI QIDQ1739054

Charles-Albert Lehalle, Eyal Neuman

Publication date: 24 April 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.00847

zbMATH Keywords

optimal stochastic controlmarket impactoptimal portfolio liquidationpredictive signals

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (18)

Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics ⋮ State-dependent Hawkes processes and their application to limit order book modelling ⋮ Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact ⋮ Optimal Liquidity-Based Trading Tactics ⋮ Optimal Trading with Signals and Stochastic Price Impact ⋮ A discrete-time optimal execution problem with market prices subject to random environments ⋮ Optimal liquidation under stochastic liquidity ⋮ Trading with the crowd ⋮ Dynamic asset-liability management with frictions ⋮ Optimal Execution with Rough Path Signatures ⋮ Closed‐loop Nash competition for liquidity ⋮ Optimal investment with a noisy signal of future stock prices ⋮ Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations ⋮ A class of optimal liquidation problem with a nonlinear temporary market impact ⋮ Reinforcement learning and stochastic optimisation ⋮ Optimal multi-asset trading with linear costs: a mean-field approach ⋮ Mechanics of good trade execution in the framework of linear temporary market impact ⋮ Optimal Execution: A Review

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