Optimal Execution with Statistical Learning
1 : Laboratoire d'Analyse et de Mathématiques Appliquées
(LAMA)
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Website
Fédération de Recherche Bézout, Université Paris-Est Créteil Val-de-Marne (UPEC)
Université Paris-Est - Créteil Val-de-Marne UFR des Sciences et Technologie Bâtiment P3 - 4ème étage 61, avenue du Général de Gaulle 94010 Créteil cedex -
France
2 : Centre de Mathématiques Appliquées - Ecole Polytechnique
(CMAP)
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Website
Polytechnique - X
CMAP UMR 7641 École Polytechnique CNRS Route de Saclay 91128 Palaiseau Cedex -
France
This talk will present how to use statistical learning to build online algorithms to solve different issues encountered in optimal execution. Firstly some aspects of stochastic algorithms will be introduced. Then applications to optimal execution will be developed like finding the optimal posting price, splitting volume across different trading destinations and building intraday volume curves (for implementation shortfall or VWAP).
| Subject : | : | Invited talk in mini-symposium |
| Topics | : | Optimal trading |
| PDF version | : |  PDF version |
- Poster
