Výsledky vyhledávání - "Guilbaud, Fabien"

Dissertation/ Thesis

Contrôle optimal dans des carnets d'ordres limites

Autor: Guilbaud, Fabien

On propose un traitement quantitatif de différentes problématiques du trading haute fréquence. On s'intéresse à plusieurs aspects de cette pratique, allant de la minimisation des frais indirects de trading, jusqu'à la tenue de marché, et plus

Externí odkaz: http://tel.archives-ouvertes.fr/tel-00778458
http://tel.archives-ouvertes.fr/docs/00/83/75/92/PDF/these_guilbaud_final.pdf

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Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information

Autor: Guilbaud, Fabien, Pham, Huyên

We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or limit orders,

Externí odkaz: http://arxiv.org/abs/1205.3051

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Optimal High Frequency Trading with limit and market orders

Autor: Guilbaud, Fabien, Pham, Huyen

We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson process of the

Externí odkaz: http://arxiv.org/abs/1106.5040

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Numerical methods for an optimal order execution problem

Autor: Guilbaud, Fabien, Mnif, Mohamed, Pham, Huyên

This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy execution trades. The corresponding dynamic programming (DP) equation is

Externí odkaz: http://arxiv.org/abs/1006.0768

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