RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES

DOI10.1111/mafi.12023zbMath1331.91158OpenAlexW2736022335MaRDI QIDQ5262521

Álvaro Cartea, Sebastian Jaimungal

Publication date: 15 July 2015

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12023

zbMATH Keywords

adverse selectionhigh-frequency tradingmarket impactalgorithmic tradingmomentum tradingrisk metricsinventory risk

Mathematics Subject Classification ID

Related Items (36)

Incorporating order-flow into optimal execution ⋮ Enhancing trading strategies with order book signals ⋮ Optimal Decisions in a Time Priority Queue ⋮ TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE ⋮ Dealing with the inventory risk: a solution to the market making problem ⋮ High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model ⋮ Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes ⋮ Modelling Asset Prices for Algorithmic and High-Frequency Trading ⋮ A Leland model for delta hedging in central risk books ⋮ A data-driven deep learning approach for options market making ⋮ PRICE SETTING OF MARKET MAKERS: A FILTERING PROBLEM WITH ENDOGENOUS FILTRATION ⋮ Algorithmic Trading with Model Uncertainty ⋮ Optimal market making ⋮ Optimal accelerated share repurchases ⋮ Optimal Market Making under Partial Information with General Intensities ⋮ Spoofing and Price Manipulation in Order-Driven Markets ⋮ Optimal execution with limit and market orders ⋮ Mean-Field Game Strategies for Optimal Execution ⋮ Algorithmic trading in a microstructural limit order book model ⋮ Optimal market making in the presence of latency ⋮ OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT ⋮ MARKET MAKING WITH ALPHA SIGNALS ⋮ Incorporating signals into optimal trading ⋮ The self-financing equation in limit order book markets ⋮ Optimal high-frequency trading with limit and market orders ⋮ Inventory management in customised liquidity pools ⋮ ALGORITHMIC TRADING WITH LEARNING ⋮ Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders ⋮ Dynamic equilibrium of market making with price competition ⋮ A Closed-Form Execution Strategy to Target Volume Weighted Average Price ⋮ Robust optimal investment and reinsurance of an insurer under jump-diffusion models ⋮ On multiobjective combinatorial optimization and dynamic interim hedging of efficient portfolios ⋮ GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION ⋮ OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION ⋮ Optimal liquidity provision ⋮ Optimal Execution: A Review

Cites Work

• Dealing with the inventory risk: a solution to the market making problem
• Controlled Markov processes and viscosity solutions
• LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
• Buy Low, Sell High: A High Frequency Trading Perspective
• Optimal Control of Trading Algorithms: A General Impulse Control Approach
• How Duration Between Trades of Underlying Securities Affects Option Prices*
• A Stochastic Model for Order Book Dynamics
• High-frequency trading in a limit order book
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Modelling Asset Prices for Algorithmic and High-Frequency Trading
• Optimal high-frequency trading with limit and market orders
• Derivatives pricing with marked point processes using tick-by-tick data

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