Incorporating Signals into Optimal Trading

Abstract

Optimal trading field of research which was initiated in the late 90's. Its main application is slicing large trading orders, in the interest of minimizing trading costs and potential perturbations of price dynamics due to... [ view full abstract ]

Authors

  1. Eyal Neuman (Imperial College)
  2. Charles-Albert LEHALLE (Imperial College and CFM)

Topic Areas

High-Frequency Trading , Optimal Execution , Price Impact

Session

WE-A-EM » Optimal Execution, and LOB Models (11:30 - Wednesday, 18th July, Emmet)

Presentation Files

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