Zobrazeno 1 - 10
of 26
pro vyhledávání: '"Mounjid Othmane"'
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 65, Pp 145-181 (2019)
We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB). Given a prior dynamic of the order
Externí odkaz:
https://doaj.org/article/80518ca30e5f4b838d4bf91906a67b3d
Autor:
Mounjid, Othmane, Guo, Xin
Training generative adversarial networks (GANs) is known to be difficult, especially for financial time series. This paper first analyzes the well-posedness problem in GANs minimax games and the convexity issue in GANs objective functions. It then pr
Externí odkaz:
http://arxiv.org/abs/2112.00222
This paper investigates to what extent one can improve reinforcement learning algorithms. Our study is split in three parts. First, our analysis shows that the classical asymptotic convergence rate $O(1/\sqrt{N})$ is pessimistic and can be replaced b
Externí odkaz:
http://arxiv.org/abs/1911.02319
We propose a general non-linear order book model that is built from the individual behaviours of the agents. Our framework encompasses Markovian and Hawkes based models. Under mild assumptions, we prove original results on the ergodicity and diffusiv
Externí odkaz:
http://arxiv.org/abs/1906.05420
We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to find the optimal tactic to execute our quantity using limit orders, marke
Externí odkaz:
http://arxiv.org/abs/1803.05690
We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB). Given a prior dynamic of the order
Externí odkaz:
http://arxiv.org/abs/1802.08135
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Akademický článek
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This paper is split in three parts: first we use labelled trade data to exhibit how market participants accept or not transactions via limit orders as a function of liquidity imbalance; then we develop a theoretical stochastic control framework to pr
Externí odkaz:
http://arxiv.org/abs/1610.00261
Autor:
Henrot, Antoine, Mounjid, Othmane
The elastic energy of a planar convex body is defined by $E(\Om)=\frac 12\,\int\_{\partial\Om} k^2(s)\,ds$where $k(s)$ is the curvature of the boundary. In this paper we are interested in the minimization problemof $E(\Om)$ with a constraint on the i
Externí odkaz:
http://arxiv.org/abs/1608.00727