Optimization and statistical methods for high frequency finance*
High Frequency finance has recently evolved from statistical modeling and analysis of financial data – where the initial goal was to reproduce stylized facts and develop appropriate inference tools – toward trading optimization, where an agent seeks to execute an order...
| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2014-09-01
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| Series: | ESAIM: Proceedings and Surveys |
| Online Access: | http://dx.doi.org/10.1051/proc/201445022 |
| Summary: | High Frequency finance has recently evolved from statistical modeling and analysis of
financial data – where the initial goal was to reproduce stylized facts and develop
appropriate inference tools – toward trading optimization, where an agent seeks to execute
an order (or a series of orders) in a stochastic environment that may react to the trading
algorithm of the agent (market impact, invoentory). This context poses new scientific
challenges addressed by the minisymposium OPSTAHF. |
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| ISSN: | 2267-3059 |