We introduce new online models for two important aspects of modern financial markets: Volume Weighted Average Price trading and limit order books. We provide an extensive study of competitive algorithms in these models and relate them to earlier online algorithms for stock trading
We study algorithmic trading strategies in order driven markets. We make three contributions to the ...
Abstract Algorithmic trading refers to the automatic and rapid trading of large quantities with orde...
The rise of computerized trading strategies in equity markets has spurred competition between tradin...
We introduce new online models for two important aspects of modern financial markets: Volume Weighte...
The Limit Order Book is a widely used tool of exchanges to allow traders to buy or sell stock easily...
A limit order book is essentially a file on a computer that contains all orders sent to the market, ...
Abstract: If we trade in financial markets we are interested in buying at low and selling at high pr...
Algorithmic trading is one of the most phenomenal changes in the financial industry in the past dec...
A Dissertation submitted to the Department of Computer Science and Engineering for the MSc in Comput...
Completely automated electronic securities exchanges and algorithms for trading in these exchanges ...
In the thesis we study the high frequency trading and its applications in limit order books. We disc...
In this paper, we present a new methodology for modeling intraday volume which allows for a reductio...
Completely automated electronic securities exchanges and algorithms for trading in these exchanges h...
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic...
The algorithmic trading comes from digitalisation of the processing of trading assets on financial m...
We study algorithmic trading strategies in order driven markets. We make three contributions to the ...
Abstract Algorithmic trading refers to the automatic and rapid trading of large quantities with orde...
The rise of computerized trading strategies in equity markets has spurred competition between tradin...
We introduce new online models for two important aspects of modern financial markets: Volume Weighte...
The Limit Order Book is a widely used tool of exchanges to allow traders to buy or sell stock easily...
A limit order book is essentially a file on a computer that contains all orders sent to the market, ...
Abstract: If we trade in financial markets we are interested in buying at low and selling at high pr...
Algorithmic trading is one of the most phenomenal changes in the financial industry in the past dec...
A Dissertation submitted to the Department of Computer Science and Engineering for the MSc in Comput...
Completely automated electronic securities exchanges and algorithms for trading in these exchanges ...
In the thesis we study the high frequency trading and its applications in limit order books. We disc...
In this paper, we present a new methodology for modeling intraday volume which allows for a reductio...
Completely automated electronic securities exchanges and algorithms for trading in these exchanges h...
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic...
The algorithmic trading comes from digitalisation of the processing of trading assets on financial m...
We study algorithmic trading strategies in order driven markets. We make three contributions to the ...
Abstract Algorithmic trading refers to the automatic and rapid trading of large quantities with orde...
The rise of computerized trading strategies in equity markets has spurred competition between tradin...
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