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Algorithmic trading with learning

Abstract:

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 predictions to tweak their strategy. Compared to a trader who cannot learn from market dynamics or from a view of the market, the algorithmic trader's profits are higher and more certain. Even tho...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Author's Original

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Publisher copy:
10.1142/S021902491650028X

Authors


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Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Institute
Jaimungal, S More by this author
Kinzebulatov, D More by this author
Publisher:
World Scientific Publishing Publisher's website
Journal:
International Journal of Theoretical and Applied Finance Journal website
Volume:
19
Issue:
4
Pages:
1650028
Publication date:
2016-05-06
Acceptance date:
2016-02-24
DOI:
ISSN:
1793-6322 and 0219-0249
Pubs id:
pubs:624667
URN:
uri:8793e5b2-0cf4-46de-bd08-786a70f118cc
UUID:
uuid:8793e5b2-0cf4-46de-bd08-786a70f118cc
Local pid:
pubs:624667
Keywords:

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