Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals

DOI10.1080/1350486X.2023.2241130zbMath1522.91240arXiv2202.07478OpenAlexW4385550742MaRDI QIDQ6047092

Fayçal Drissi

Publication date: 9 October 2023

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

Full work available at URL: https://arxiv.org/abs/2202.07478

zbMATH Keywords

Riccati equationssignalsoptimal executionmarket makingalgorithmic tradingstatistical arbitrage

Mathematics Subject Classification ID

Existence theories for optimal control problems involving ordinary differential equations (49J15) Financial markets (91G15)

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