Optimal posting price of limit orders: learning by trading

Abstract : Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modeled by an iterating procedure adjusting the price at which he posts orders at a given rhythm, this paper proposes a procedure minimizing his costs. We prove the a.s. convergence of the algorithm under assumptions on the cost function and give some practical criteria on model parameters to ensure that the conditions to use the algorithm are fulfilled (using notably the co-monotony principle). We illustrate our results with numerical experiments on both simulated data and using a financial market dataset.
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Preprints, Working Papers, ...
2012
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https://hal.archives-ouvertes.fr/hal-00650314
Contributor : Sophie Laruelle <>
Submitted on : Tuesday, September 11, 2012 - 4:28:58 PM
Last modification on : Monday, May 29, 2017 - 2:22:29 PM
Document(s) archivé(s) le : Friday, December 16, 2016 - 11:52:08 AM

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  • HAL Id : hal-00650314, version 2
  • ARXIV : 1112.2397

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UPMC | INSMI | PMA | USPC

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Sophie Laruelle, Charles-Albert Lehalle, Gilles Pagès. Optimal posting price of limit orders: learning by trading. 2012. <hal-00650314v2>

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