Trading foreign exchange triplets

Trading foreign exchange triplets

We develop the optimal trading strategy for a foreign exchange (FX) broker who must liquidate a large position in an illiquid currency pair. To maximize revenues, the broker considers trading in a currency triplet which consists of the illiquid pair and two other liquid currency pairs. The liquid pa...

书目详细资料
Main Authors:	Cartea, A, Jaimungal, S, Jia, T
格式:	Journal article
语言:	English
出版:	Society for Industrial and Applied Mathematics 2020

相似书籍

Foreign exchange markets with last look
由: Cartea, A, et al.
出版: (2018)

Algorithmic trading of co-integrated assets
由: Cartea, A, et al.
出版: (2016)

Algorithmic trading with learning
由: Cartea, A, et al.
出版: (2016)

Algorithmic trading with model uncertainty
由: Cartea, A, et al.
出版: (2017)

Algorithmic and high-frequency trading
由: Cartea, Á, et al.
出版: (2015)

Trading strategies within the edges of no-arbitrage
由: Cartea, Á, et al.
出版: (2018)

Trading co‐integrated assets with price impact
由: Cartea, A, et al.
出版: (2018)

Speculative trading of electricity contracts in interconnected locations
由: Cartea, A, et al.
出版: (2018)

Enhancing trading strategies with order book signals
由: Cartea, Á, et al.
出版: (2018)

Algorithmic trading, stochastic control, and mutually exciting processes
由: Cartea, À, et al.
出版: (2018)

Irreversible investments and ambiguity aversion
由: Cartea, Á, et al.
出版: (2017)

Incorporating order-flow into optimal execution
由: Cartea, A, et al.
出版: (2016)

A closed-form execution strategy to target VWAP
由: Cartea, A, et al.
出版: (2016)

The shadow price of latency: improving intraday fill ratios in foreign exchange markets
由: Cartea, Á, et al.
出版: (2021)

Conditionally elicitable dynamic risk measures for deep reinforcement learning
由: Coache, A, et al.
出版: (2023)

Spoofing and price manipulation in order-driven markets
由: Cartea, Á, et al.
出版: (2020)

Hedging nontradable risks with transaction costs and price impact
由: Cartea, A, et al.
出版: (2020)

Hedge and speculate: replicating option payoffs with limit and market orders
由: Cartea, A, et al.
出版: (2019)

Model uncertainty in commodity markets
由: Cartea, Á, et al.
出版: (2016)

Electronic trading in the foreign exchange spot market
由: Gould, MD
出版: (2013)

The political–economic geography of foreign exchange trading
由: Wojcik, D, et al.
出版: (2016)

Latency and liquidity risk
由: Cartea, A, et al.
出版: (2021)

Forecasting foreign exchange and trading using random forest
由: Song, Jiaze
出版: (2019)

Foreign exchange prediction and trading using neural networks
由: Aung, Htet Myet
出版: (2019)

Foreign exchange prediction and trading using random forests
由: Tong, Xiaoshan
出版: (2019)

Foreign exchange prediction and trading using computational intelligence
由: Xia, Bowen
出版: (2015)

Study of the effectiveness of technical analysis in foreign exchange trading
由: Lim, Wee Kian, et al.
出版: (2015)

Dynamics of Foreign Exchange Futures Trading Volumes in Thailand
由: Woradee Jongadsayakul
出版: (2024-09-01)

Exchange rate regime, exchange rate variability and flows of Malaysia's foreign trade
由: Niaz Ahmad, Mohd Naseem, et al.
出版: (2010)

Triplet-triplet decoherence in singlet fission
由: Marcus, M, et al.
出版: (2020)

Foreign exchange prediction and trading using nature-inspired techniques
由: Ng, Kai Boon
出版: (2017)

Foreign exchange prediction and trading using Restricted Boltzmann Machines
由: Lai, Shicen
出版: (2021)

Foreign exchange prediction and trading using restricted boltzmann machines
由: Peng, Hongyi
出版: (2019)

Foreign exchange prediction and trading using feedforward neural networks
由: Han, Hongyi
出版: (2019)

Foreign Exchange Futures Trading and Spot Market Volatility in Thailand
由: Woradee Jongadsayakul
出版: (2024-06-01)

Foreign trade exchange of wine of the Republic of Serbia: Condition and perspective
由: Puškarić Anton, et al.
出版: (2011-01-01)

Foreign Trade Commodity Exchange between the Countries of the Former SFRY
由: Sanja Filipović, et al.
出版: (2023-04-01)

Profitability of technical trading systems : evidence in foreign exchange markets
由: Chan, Elwyn Kah Wai, et al.
出版: (2008)

In-Flow Heterogeneous Triplet–Triplet Annihilation Upconversion
由: Jorge Castellanos-Soriano, et al.
出版: (2024-03-01)

Light-induced triplet-triplet electron resonance spectroscopy
由: Bertran, A, et al.
出版: (2020)