Algorithmic Trading with Model Uncertainty
Work
Year: 2017
Type: article
Abstract: 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 mar... more
Institutions University of Oxford, École Polytechnique Fédérale de Lausanne, Swiss Finance Institute, University of Toronto
Cites: 15
Cited by: 105
Related to: 10
FWCI: 15.69
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Partnerships for the goals
Open Access status: green