Optimization and statistical methods for high frequency finance
Hoffmann, Marc; Labadie, Mauricio; Lehalle, Charles-Albert; Pagès, Gilles; Pham, Huyên; Rosenbaum, Mathieu (2014), Optimization and statistical methods for high frequency finance, ESAIM. Proceedings and Surveys, 45, p. 219-228. 10.1051/proc/201445022
TypeArticle accepté pour publication ou publié
External document linkhttps://hal.archives-ouvertes.fr/hal-01102785
Journal nameESAIM. Proceedings and Surveys
MetadataShow full item record
Abstract (EN)High Frequency finance has recently evolved from statistical modeling and analysis of financial data – where the initial goal was to reproduce stylized facts and develop appropriate inference tools – toward trading optimization, where an agent seeks to execute an order (or a series of orders) in a stochastic environment that may react to the trading algorithm of the agent (market impact, invoentory). This context poses new scientific challenges addressed by the minisymposium OPSTAHF.
Subjects / KeywordsHigh Frequency finance
JELG19 - Other
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