Optimal Trading with Online Parameter Revisions
BARADEL , N.
Bouchard , B.
Dang , N. M.
- Publisher: World scientific publishing company
[ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR] | [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | Optimal trading | Bayesian filtering | uncertainty | market impact
International audience; The aim of this paper is to explain how parameters adjustments can be integrated in the design or the control of automates of trading. Typically, we are interested in the online estimation of the market impacts generated by robots or single order...