Optimal posting price of limit orders: Learning by trading

Mathematics and Financial Economics

Volumn 7, Issue 3, 2013, Pages 359-403

  Laruelle, Sophie ^a   Lehalle, Charles Albert ^b   Pagès, Gilles ^c  

^a ECOLE CENTRALE PARIS   (France)

^b Credit Agricole SA   (France)

^c University of Paris VII LPSM partially supported by ERC Starting Grant 680275 MALIG   (France)

Author keywords

Co monotony principle; High frequency optimal liquidation; Limit order; Market impact; Order book; Poisson process; Statistical learning; Stochastic approximation

Indexed keywords

EID: 84878511980     PISSN: 18629679     EISSN: 18629660     Source Type: Journal    
DOI: 10.1007/s11579-013-0096-7     Document Type: Article

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