Algorithmic trading with model uncertainty
Algorithmic traders acknowledge that their models are incorrectly specified, thus we allow for ambiguity in their choices to make their models robust to misspecification in (i) the arrival rate of market orders, (ii) the fill probability of limit orders, and (iii) the dynamics of the midprice of the...
| Hlavní autoři: | , , |
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| Médium: | Journal article |
| Jazyk: | English |
| Vydáno: |
Society for Industrial and Applied Mathematics
2017
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