Optimization and statistical methods for high frequency finance

Hoffmann, Marc; Labadie, Mauricio; Lehalle, Charles-Albert; Pagès, Gilles; Pham, Huyên; Rosenbaum, Mathieu

Hoffmann, Marc; Labadie, Mauricio; Lehalle, Charles-Albert; Pagès, Gilles; Pham, Huyên; Rosenbaum, Mathieu (2014), Optimization and statistical methods for high frequency finance, ESAIM. Proceedings and Surveys, 45, p. 219-228. 10.1051/proc/201445022

Type

Article accepté pour publication ou publié

External document link

https://hal.archives-ouvertes.fr/hal-01102785

Date

2014

Journal name

ESAIM. Proceedings and Surveys

Volume

Publisher

EDP sciences

Pages

219-228

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.

Subjects / Keywords

High Frequency finance

JEL

G19 - Other