2 citations · 4 across the 12 of their papers we have counts for
3 papers · 1 filter
Model-based gym environments for limit order book trading
Joseph Jerome, Leandro Sanchez-Betancourt, Rahul Savani +1
Within the mathematical finance literature there is a rich catalogue of mathematical models for studying algorithmic trading problems -- such as market-making and optimal execution…
Vague and weak convergence of signed measures
Martin Herdegen, Gechun Liang, Osian Shelley
Necessary and sufficient conditions for weak and vague convergence of measures are important for a diverse host of applications. This paper aims to give a comprehensive description…
A continuity theorem for generalised signed measures with an application to Karamata's Tauberian theorem
Martin Herdegen, Gechun Liang, Osian Shelley
The Laplace transforms of positive measures on converge if and only if their distribution functions converge at continuity points of the limiting measure. We exten…