Online Learning in Limit Order Book Trade Execution
From MaRDI portal
Publication:4622365
DOI10.1109/TSP.2018.2858188zbMath1414.68041OpenAlexW2883309605WikidataQ129502539 ScholiaQ129502539MaRDI QIDQ4622365
Mihaela van der Schaar, Cem Tekin, Nima Akbarzadeh
Publication date: 12 February 2019
Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/tsp.2018.2858188
Learning and adaptive systems in artificial intelligence (68T05) Dynamic programming (90C39) Financial applications of other theories (91G80) Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)
Related Items (2)
Optimal liquidation through a limit order book: a neural network and simulation approach ⋮ Order scoring, bandit learning and order cancellations
This page was built for publication: Online Learning in Limit Order Book Trade Execution
