Optimal split of orders across liquidity pools: a stochastic algorithm approach.SIAM Journal on Financial Mathematics, 2(1):1042–1076

Sophie Laruelle, Charles-Albert Lehalle, Gilles Pages · 2011

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q-fin.PM · 2019-07-04 · unverdicted · novelty 6.0

A stochastic gradient algorithm learns log-optimal threshold-type strategies for online portfolio optimization across varied price dynamics.

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Learning Threshold-Type Investment Strategies with Stochastic Gradient Method q-fin.PM · 2019-07-04 · unverdicted · none · ref 12
A stochastic gradient algorithm learns log-optimal threshold-type strategies for online portfolio optimization across varied price dynamics.