Optimal Execution
About
HighFrequencyTrading
Books
[Algorithmic and high frequency trading]
1. Chapter6: Optimal Execution with Continuous Trading I
2. Chapter7: Optimal Execution with Continuous Trading II
3. Chapter8: Optimal Execution with Limit and Market Orders
[시장의 미시구조와 마이크로 트레이딩]
1. 11장: 시장미시구조론과 알고리즘 트레이딩
Code
Contents
1. Optimal Execution
Lecture
[High Frequency & Algorithmic trading]
1. Lecture 3: Continuing Optimal Liquidation, including a price limiter, discussion and setup of optimal postings in LOB
2. Lecture4: Impact from Data, Intro to stochastic crontol with jumps, optimal liquidation posting at the touch
3. Lecture5: Order Imblance and market orders, optimal acquisition controlling depth, execution with limit and market orders
Papers
Optimal Execution with Limit and Market Orders.pdf
OPTIMAL EXECUTION WITH A PRICE LIMITER.pdf
Rank
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