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.
Type de document :
Pré-publication, Document de travail
2012
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https://hal.archives-ouvertes.fr/hal-00650314
Contributeur : Sophie Laruelle <>
Soumis le : mardi 11 septembre 2012 - 16:28:58
Dernière modification le : lundi 29 mai 2017 - 14:22:29
Document(s) archivé(s) le : vendredi 16 décembre 2016 - 11:52:08

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OptimalPostingDistance2.pdf
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  • HAL Id : hal-00650314, version 2
  • ARXIV : 1112.2397

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UPMC | INSMI | PMA | USPC

Citation

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

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