ALGORITHMIC TRADING WITH LEARNING

DOI10.1142/S021902491650028XzbMath1396.91720OpenAlexW3122964770MaRDI QIDQ2814668

Álvaro Cartea, Damir Kinzebulatov, Sebastian Jaimungal

Publication date: 22 June 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491650028x

zbMATH Keywords

stochastic optimal controlBrownian bridgeadverse selectionalgorithmic tradinghigh frequency tradingnonlinear filtration

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

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