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Optimization and statistical methods for high frequency finance

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Date
2014
Link to item file
https://hal.archives-ouvertes.fr/hal-01102785
Dewey
Probabilités et mathématiques appliquées
Sujet
High Frequency finance
JEL code
G19
Journal issue
ESAIM. Proceedings and Surveys
Volume
45
Publication date
2014
Article pages
219-228
Publisher
EDP sciences
DOI
http://dx.doi.org/10.1051/proc/201445022
URI
https://basepub.dauphine.fr/handle/123456789/16368
Collections
  • CEREMADE : Publications
Metadata
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Author
Hoffmann, Marc
Labadie, Mauricio
Lehalle, Charles-Albert
Pagès, Gilles
Pham, Huyên
Rosenbaum, Mathieu
Type
Article accepté pour publication ou publié
Abstract (EN)
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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