Tagged Questions
7
votes
1answer
591 views
Optimal execution and reinforcement learning
Suppose a fairly simple problem: You have to buy (resp sell) a given number of shares V in a fixed time horizon H with the aim to minimize your capital spent (resp maximize your revenue).
There are ...
11
votes
3answers
1k views
Techniques to optimize the placement of orders in market making strategy?
Market making often requires placing and canceling a lot of orders. You have to buy and sell nearly simultaneously, so you need to move orders pretty often to beat other traders. But I would like to ...
