Volume 25; Issue 3

Mathematical Finance

Volume 25; Issue 3
1

RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY
 TRADING STRATEGIES

Cartea, Álvaro, Jaimungal, Sebastian
Journal:
Mathematical Finance
Year:
2015
Language:
english
File:
PDF, 1.14 MB
english, 2015
2

OPTIMAL HIGH-FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION

Guilbaud, Fabien, Pham, Huyên
Journal:
Mathematical Finance
Year:
2015
Language:
english
File:
PDF, 1.24 MB
english, 2015
3

OPTIMAL EXECUTION HORIZON

Easley, David, de Prado, Marcos Lopez, O'Hara, Maureen
Journal:
Mathematical Finance
Year:
2015
Language:
english
File:
PDF, 788 KB
english, 2015
4

OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH

Frei, Christoph, Westray, Nicholas
Journal:
Mathematical Finance
Year:
2015
Language:
english
File:
PDF, 1.06 MB
english, 2015
5

PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME

Kratz, Peter, Schöneborn, Torsten
Journal:
Mathematical Finance
Year:
2015
Language:
english
File:
PDF, 735 KB
english, 2015
6

GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION

Guéant, Olivier, Lehalle, Charles-Albert
Journal:
Mathematical Finance
Year:
2015
Language:
english
File:
PDF, 681 KB
english, 2015