2 papers
q-fin.TR2021
Optimal Execution with Quadratic Variation Inventories
Rene Carmona, Laura Leal
The first half of the paper is devoted to description and implementation of statistical tests arguing for the presence of a Brownian component in the inventories and wealth process…
math.OC2020
Learning a functional control for high-frequency finance
Laura Leal, Mathieu Laurière, Charles-Albert Lehalle
We use a deep neural network to generate controllers for optimal trading on high frequency data. For the first time, a neural network learns the mapping between the preferences of…