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Incorporating Signals into Optimal Trading

Citations

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Cited by:

  1. Masamitsu Ohnishi & Makoto Shimoshimizu, 2024. "Trade execution games in a Markovian environment," Papers 2405.07184, arXiv.org.
  2. Joachim de Lataillade & Ayman Chaouki, 2020. "Equations and Shape of the Optimal Band Strategy," Papers 2003.04646, arXiv.org, revised Mar 2020.
  3. Claudio Bellani & Damiano Brigo & Alex Done & Eyal Neuman, 2018. "Static vs Adaptive Strategies for Optimal Execution with Signals," Papers 1811.11265, arXiv.org, revised Jul 2019.
  4. Eyal Neuman & Yufei Zhang, 2023. "Statistical Learning with Sublinear Regret of Propagator Models," Papers 2301.05157, arXiv.org.
  5. Jean-Pierre Fouque & Sebastian Jaimungal & Yuri F. Saporito, 2021. "Optimal Trading with Signals and Stochastic Price Impact," Papers 2101.10053, arXiv.org, revised Aug 2023.
  6. Vicky Henderson & Saul Jacka & Ruiqi Liu, 2021. "The Support and Resistance Line Method: An Analysis via Optimal Stopping," Papers 2103.02331, arXiv.org.
  7. Federico Gonzalez & Mark Schervish, 2017. "Instantaneous order impact and high-frequency strategy optimization in limit order books," Papers 1707.01167, arXiv.org, revised Oct 2017.
  8. Dirk Becherer & Todor Bilarev & Peter Frentrup, 2018. "Optimal liquidation under stochastic liquidity," Finance and Stochastics, Springer, vol. 22(1), pages 39-68, January.
  9. Peter Bank & 'Alvaro Cartea & Laura Korber, 2023. "Optimal execution and speculation with trade signals," Papers 2306.00621, arXiv.org, revised Jul 2023.
  10. Claudio Bellani & Damiano Brigo, 2021. "Mechanics of good trade execution in the framework of linear temporary market impact," Quantitative Finance, Taylor & Francis Journals, vol. 21(1), pages 143-163, January.
  11. Jasdeep Kalsi & Terry Lyons & Imanol Perez Arribas, 2019. "Optimal execution with rough path signatures," Papers 1905.00728, arXiv.org.
  12. Owen Futter & Blanka Horvath & Magnus Wiese, 2023. "Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals," Papers 2308.15135, arXiv.org, revised Aug 2023.
  13. Alessandro Micheli & Johannes Muhle-Karbe & Eyal Neuman, 2021. "Closed-Loop Nash Competition for Liquidity," Papers 2112.02961, arXiv.org, revised Jun 2023.
  14. Yan, Tingjin & Han, Jinhui & Ma, Guiyuan & Siu, Chi Chung, 2023. "Dynamic asset-liability management with frictions," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 57-83.
  15. Eduardo Abi Jaber & Eyal Neuman & Moritz Voss, 2023. "Equilibrium in Functional Stochastic Games with Mean-Field Interaction," Working Papers hal-04119787, HAL.
  16. Rama Cont & Alessandro Micheli & Eyal Neuman, 2022. "Fast and Slow Optimal Trading with Exogenous Information," Papers 2210.01901, arXiv.org, revised Jun 2023.
  17. Eduardo Abi Jaber & Eyal Neuman, 2022. "Optimal Liquidation with Signals: the General Propagator Case," Working Papers hal-03835948, HAL.
  18. Eduardo Abi Jaber & Eyal Neuman, 2022. "Optimal Liquidation with Signals: the General Propagator Case," Papers 2211.00447, arXiv.org.
  19. Eduardo Abi Jaber & Eyal Neuman & Moritz Vo{ss}, 2023. "Equilibrium in Functional Stochastic Games with Mean-Field Interaction," Papers 2306.05433, arXiv.org, revised Feb 2024.
  20. Eyal Neuman & Moritz Voß, 2023. "Trading with the crowd," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 548-617, July.
  21. Philippe Bergault & Fayc{c}al Drissi & Olivier Gu'eant, 2021. "Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics," Papers 2103.13773, arXiv.org, revised Mar 2022.
  22. Eyal Neuman & Moritz Vo{ss}, 2021. "Trading with the Crowd," Papers 2106.09267, arXiv.org, revised Mar 2023.
  23. Marcel Nutz & Kevin Webster & Long Zhao, 2023. "Unwinding Stochastic Order Flow: When to Warehouse Trades," Papers 2310.14144, arXiv.org.
  24. Eduardo Abi Jaber & Eyal Neuman & Sturmius Tuschmann, 2024. "Optimal Portfolio Choice with Cross-Impact Propagators," Papers 2403.10273, arXiv.org.
  25. 'Alvaro Cartea & Fayc{c}al Drissi & Marcello Monga, 2023. "Decentralised Finance and Automated Market Making: Execution and Speculation," Papers 2307.03499, arXiv.org, revised Jul 2024.
  26. Alexander Barzykin & Robert Boyce & Eyal Neuman, 2024. "Unwinding Toxic Flow with Partial Information," Papers 2407.04510, arXiv.org.
  27. Sebastian Jaimungal, 2022. "Reinforcement learning and stochastic optimisation," Finance and Stochastics, Springer, vol. 26(1), pages 103-129, January.
  28. Eyal Neuman & Moritz Vo{ss}, 2020. "Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact," Papers 2002.09549, arXiv.org, revised Jan 2022.
  29. Marcello Monga, 2024. "Automated Market Making and Decentralized Finance," Papers 2407.16885, arXiv.org.
  30. Joseph Jerome & Leandro Sanchez-Betancourt & Rahul Savani & Martin Herdegen, 2022. "Model-based gym environments for limit order book trading," Papers 2209.07823, arXiv.org.
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