Algorithmic trading with model uncertainty

SIAM Journal on Financial Mathematics

Volumn 8, Issue 1, 2017, Pages 635-671

  Cartea, Álvaro ^a   Donnelly, Ryan ^b   Jaimungal, Sebastian ^c,d  

^a UNIVERSITY OF OXFORD   (United Kingdom)

^b UNIVERSITY OF OXFORD   (United Kingdom)

^c EPFL   (Switzerland)

^d UNIVERSITY OF TORONTO   (Canada)

Author keywords

Adverse selection; Algorithmic trading; Ambiguity aversion; High frequency trading; Market making; Model uncertainty; Robust optimization; Short Term alpha

Indexed keywords

EID: 85033986445     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/16M106282X     Document Type: Article

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