54 citations · 55 across the 4 of their papers we have counts for
4 papers
Model Predictive Control For Trade Execution
Thomas P. McAuliffe, Samuel Liew, Yuchao Li +7
We address the problem of executing large client orders in continuous double-auction markets under time and liquidity constraints. We propose a model predictive control (MPC) frame…
Robust and Adaptive Algorithms for Online Portfolio Selection
Theodoros Tsagaris, Ajay Jasra, Niall Adams
We present an online approach to portfolio selection. The motivation is within the context of algorithmic trading, which demands fast and recursive updates of portfolio allocations…
Statistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets
Theodoros Tsagaris
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of termin…
Flexible least squares for temporal data mining and statistical arbitrage
Giovanni Montana, Kostas Triantafyllopoulos, Theodoros Tsagaris
A number of recent emerging applications call for studying data streams, potentially infinite flows of information updated in real-time. When multiple co-evolving data streams are…