Incorporating signals into optimal trading

Lehalle, CA; Neuman, E

Neuman, E (reprint author), CFM Imperial Coll Inst, London SW7 1NE, England.; Neuman, E (reprint author), Imperial Coll London, Dept Math, London SW7 1NE, England.

FINANCE AND STOCHASTICS, 2019; 23 (2): 275

Abstract

We incorporate a Markovian signal in the optimal trading framework which was initially proposed by Gatheral etal. (Math. Finance 22:445-474, 2012) and......

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