Trading Foreign Exchange Triplets

DOI10.1137/18M1172089zbMath1448.91179arXiv2004.12011MaRDI QIDQ5123451

Tianyi Jia, Sebastian Jaimungal, Álvaro Cartea

Publication date: 28 September 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.12011

zbMATH Keywords

ambiguity aversionforeign exchangeoptimal liquidationexecutioncurrency pairsinventory aversion

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64) Dynamic programming (90C39)

Related Items (1)

Double-Execution Strategies Using Path Signatures

Cites Work

• Unnamed Item
• Unnamed Item
• Foreign exchange markets with last look
• Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio
• Execution in an aggregator
• Algorithmic Trading with Model Uncertainty
• PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS

This page was built for publication: Trading Foreign Exchange Triplets