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Online Learning in Limit Order Book Trade Execution

https://doi.org/10.1109/tsp.2018.2858188
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/11575726_13openalex-snapshot
Three Automated Stock-Trading Agents: A Comparative Study
inferredcites →https://doi.org/10.1007/978-3-540-87987-9_14openalex-snapshot
Online Regret Bounds for Markov Decision Processes with Deterministic Transitions
inferredcites →https://doi.org/10.1016/0196-8858(85)90002-8openalex-snapshot
Asymptotically efficient adaptive allocation rules
inferredcites →https://doi.org/10.1016/s0019-9958(58)80003-0openalex-snapshot
Dynamic programming and stochastic control processes
inferredcites →https://doi.org/10.1016/s1386-4181(97)00012-8openalex-snapshot
Optimal control of execution costs
inferredcites →https://doi.org/10.1017/s0308210511001648openalex-snapshot
Improved bound for complexity of matrix multiplication
inferredcites →https://doi.org/10.1080/01621459.2014.982278openalex-snapshot
Simulating and Analyzing Order Book Data: The Queue-Reactive Model
inferredcites →https://doi.org/10.1080/135048602100056openalex-snapshot
Optimal execution with nonlinear impact functions and trading-enhanced risk
inferredcites →https://doi.org/10.1080/14697688.2013.803148openalex-snapshot
Limit order books
inferredcites →https://doi.org/10.1109/allerton.2016.7852376openalex-snapshot
Gambler's Ruin Bandit Problem
inferredcites →https://doi.org/10.1109/cifer.2014.6924090openalex-snapshot
Estimation of financial indices volatility using a model with time-varying parameters
inferredcites →https://doi.org/10.1109/cifer.2014.6924109openalex-snapshot
A reinforcement learning extension to the Almgren-Chriss framework for optimal trade execution
inferredcites →https://doi.org/10.1109/globalsip.2013.6737102openalex-snapshot
Non-parametric prediction in a limit order book
inferredcites →https://doi.org/10.1109/globalsip.2017.8308614openalex-snapshot
Combinatorial multi-armed bandit problem with probabilistically triggered arms: A case with bounded regret
inferredcites →https://doi.org/10.1109/globalsip.2017.8309090openalex-snapshot
Online learning in limit order book trade execution
inferredcites →https://doi.org/10.1109/jstsp.2015.2402646openalex-snapshot
RELEAF: An Algorithm for Learning and Exploiting Relevance
inferredcites →https://doi.org/10.1109/jstsp.2016.2570738openalex-snapshot
Gaussian Process Regression Stochastic Volatility Model for Financial Time Series
inferredcites →https://doi.org/10.1109/jstsp.2016.2574703openalex-snapshot
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer
inferredcites →https://doi.org/10.1109/jstsp.2016.2592622openalex-snapshot
Risk-Averse Multi-Armed Bandit Problems Under Mean-Variance Measure
inferredcites →https://doi.org/10.1109/jstsp.2016.2593060openalex-snapshot
Mid-Price Prediction in a Limit Order Book
inferredcites →https://doi.org/10.1109/jstsp.2016.2594458openalex-snapshot
Introduction to the Issue on Financial Signal Processing and Machine Learning for Electronic Trading
inferredcites →https://doi.org/10.1109/tac.2009.2031725openalex-snapshot
A Structured Multiarmed Bandit Problem and the Greedy Policy
inferredcites →https://doi.org/10.1109/tac.2013.2292137openalex-snapshot
Online Markov Decision Processes Under Bandit Feedback
inferredcites →https://doi.org/10.1109/tac.2014.2301558openalex-snapshot
Online Markov Decision Processes With Kullback–Leibler Control Cost
inferredcites →https://doi.org/10.1109/tit.2010.2043762openalex-snapshot
Universal Reinforcement Learning
inferredcites →https://doi.org/10.1109/tnn.1998.712192openalex-snapshot
Reinforcement Learning: An Introduction
inferredcites →https://doi.org/10.1109/tsp.2014.2386288openalex-snapshot
Robust Optimization of Order Execution
inferredcites →https://doi.org/10.1137/110856605openalex-snapshot
Price Dynamics in a Markovian Limit Order Market
inferredcites →https://doi.org/10.1145/1143844.1143929openalex-snapshot
Reinforcement learning for optimized trade execution
inferredcites →https://doi.org/10.1287/opre.1090.0780openalex-snapshot
A Stochastic Model for Order Book Dynamics
inferredcites →https://doi.org/10.1561/9781680831191openalex-snapshot
A Signal Processing Perspective of Financial Engineering
inferredcites →https://doi.org/10.21314/jor.2001.041openalex-snapshot
Optimal execution of portfolio transactions
inferredcites →https://doi.org/10.2307/2687213openalex-snapshot
A Generalized Logarithm for Exponential-Linear Equations
inferredcites →https://doi.org/10.3905/jpm.1988.409150openalex-snapshot
The implementation shortfall
inferredcites →https://doi.org/10.48550/arxiv.1508.00641openalex-snapshot
Episodic Multi-armed Bandits
inferredcites →https://doi.org/10.7551/mitpress/7503.003.0011openalex-snapshot
Logarithmic Online Regret Bounds for Undiscounted Reinforcement Learning

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4204014openalex-extracted
Robo-Advising Under Rare Disasters
inferred← citeshttps://doi.org/10.1007/978-3-030-59410-7_42openalex-snapshot
Optimal Trade Execution Based on Deep Deterministic Policy Gradient
inferred← citeshttps://doi.org/10.1007/s11009-023-09996-zopenalex-snapshot
Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach
inferred← citeshttps://doi.org/10.1016/j.jedc.2021.104287openalex-snapshot
Order scoring, bandit learning and order cancellations
inferred← citeshttps://doi.org/10.1109/ises52644.2021.00073openalex-snapshot
Hardware based Order Book Design in High Frequency Algo Trading
inferred← citeshttps://doi.org/10.1109/mis.2020.2977590openalex-snapshot
An Asymptotic Statistical Learning Algorithm for Prediction of Key Trading Events
inferred← citeshttps://doi.org/10.1109/tsp.2019.2929936openalex-snapshot
Universal Best Arm Identification
inferred← citeshttps://doi.org/10.1109/tsp.2019.2941067openalex-snapshot
Gaussian Weighting Reversion Strategy for Accurate Online Portfolio Selection
inferred← citeshttps://doi.org/10.3390/math12213440openalex-snapshot
Joint Learning of Volume Scheduling and Order Placement Policies for Optimal Order Execution
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