OPTIMIZATION AND STATISTICAL METHODS FOR HIGH FREQUENCY FINANCE

Abstract : High Frequency finance has recently evolved from statistical modeling and analysis of financial data – where the initial goal was to reproduce stylized facts and develop appropriate inference tools – toward trading optimization, where an agent seeks to execute an order (or a series of orders) in a stochastic environment that may react to the trading algorithm of the agent (market impact, invoentory). This context poses new scientific challenges addressed by the minisymposium OPSTAHF.
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Communication dans un congrès
SMAI 2013, May 2013, Seignosse, France. 45, pp.219 - 228, 2014, <10.1051/proc/201445022>
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Marc Hoffmann, Mauricio Labadie, Charles-Albert Lehalle, Gilles Pagès, Huyên Pham, et al.. OPTIMIZATION AND STATISTICAL METHODS FOR HIGH FREQUENCY FINANCE . SMAI 2013, May 2013, Seignosse, France. 45, pp.219 - 228, 2014, <10.1051/proc/201445022>. <hal-01102785>

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