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Algorithmic Trading with Model Uncertainty

Algorithmic trading with model uncertainty
descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2017 United Kingdom English Publisher:Society for Industrial & Applied Mathematics (SIAM)Journal:SIAM Journal on Financial Mathematics, volume 8, pages 635-671 (eissn: 1945-497X, Copyright policy )Funded by:NSERC | unidentified
Authors: Álvaro Cartea; Ryan Donnelly; Sebastian Jaimungal;

doi: 10.1137/16m106282x

Algorithmic Trading with Model Uncertainty

Abstract

zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Country
United Kingdom
Related Organizations
Keywords

ambiguity aversion, 330, adverse selection, high-frequency trading, algorithmic trading, robust optimization, Optimality conditions for problems involving randomness, short-term alpha, Dynamic programming, Optimal stochastic control, model uncertainty, market making, Financial applications of other theories

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    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 63
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Top 10%
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Top 1%
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
63
Top 10%
Top 10%
Top 1%
Green
bronze
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