Algorithmic trading for online portfolio selection under limited market liquidity
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DOI: 10.1016/j.ejor.2020.03.050
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Cited by:
- Jin’an He & Shicheng Yin & Fangping Peng, 2024. "Weak aggregating specialist algorithm for online portfolio selection," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2405-2434, June.
- Guo, Sini & Gu, Jia-Wen & Ching, Wai-Ki, 2021. "Adaptive online portfolio selection with transaction costs," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1074-1086.
- Chun-Hao Chen & Yu-Hsuan Chen & Vicente Garcia Diaz & Jerry Chun-Wei Lin, 2023. "RETRACTED ARTICLE: An intelligent trading mechanism based on the group trading strategy portfolio to reduce massive loss by the grouping genetic algorithm," Electronic Commerce Research, Springer, vol. 23(1), pages 3-42, March.
- Schnaubelt, Matthias, 2022. "Deep reinforcement learning for the optimal placement of cryptocurrency limit orders," European Journal of Operational Research, Elsevier, vol. 296(3), pages 993-1006.
- Guo, Sini & Gu, Jia-Wen & Fok, Christopher H. & Ching, Wai-Ki, 2023. "Online portfolio selection with state-dependent price estimators and transaction costs," European Journal of Operational Research, Elsevier, vol. 311(1), pages 333-353.
- Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
- Amirhossein Sadoghi & Jan Vecer, 2022. "Optimal liquidation problem in illiquid markets," Post-Print hal-03696768, HAL.
- Jin’an He & Fangping Peng & Xiuying Xie, 2024. "Risk-adjusted exponential gradient strategies for online portfolio selection," Journal of Combinatorial Optimization, Springer, vol. 48(1), pages 1-25, August.
- Zhong, Yannan & Xu, Weijun & Li, Hongyi & Zhong, Weiwei, 2024. "Distributed mean reversion online portfolio strategy with stock network," European Journal of Operational Research, Elsevier, vol. 314(3), pages 1143-1158.
- Weiwei Guo & Wei-Guo Zhang & Zaiwu Gong, 2024. "Modeling of linear uncertain portfolio selection with uncertain constraint and risk index," Fuzzy Optimization and Decision Making, Springer, vol. 23(3), pages 469-496, September.
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Keywords
Investment analysis; Algorithmic trading; Online portfolio selection; Market impact cost; Limit order book;All these keywords.
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