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...
| Main Authors: | , , |
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| 格式: | Journal article |
| 出版: |
World Scientific Publishing
2016
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