Incorporating Signals into Optimal Trading


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 ]


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

Topic Areas

High-Frequency Trading , Optimal Execution , Price Impact


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

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