Algorithmic trading with learning

We propose a model where an algorithmic trader takes a view on the distribution of prices at a future date and then decides how to trade in the direction of their predictions using the optimal mix of market and limit orders. As time goes by, the trader learns from changes in prices and updates their...

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Bibliographic Details
Main Authors: Cartea, A, Jaimungal, S, Kinzebulatov, D
Format: Journal article
Published: World Scientific Publishing 2016