Optimal Control of Trading Algorithms: A General Impulse Control Approach
Work
Year: 2011
Type: article
Abstract: We propose a general framework for intraday trading based on the control of trading algorithms. Given a set of generic parameterized algorithms (which have to be specified by the controller ex-ante), ... more
Institutions Centre de Recherche en Mathématiques de la Décision, Centre de Recherche en Économie et Statistique
Cites: 13
Cited by: 103
Related to: 10
FWCI: 14.66
Citation percentile (by year/subfield): 97.72
Subfield: Finance
Domain: Social Sciences
Open Access status: green