2 citations · 2 across the 4 of their papers we have counts for
5 papers
Nonlinear Randomized Urn Models: a Stochastic Approximation Viewpoint
Sophie Laruelle, Gilles Pagès
This paper extends the link between stochastic approximation (SA) theory and randomized urn models developed in Laruelle, Pag{è}s (2013), and their applications to clinical trials…
Optimal posting price of limit orders: learning by trading
Sophie Laruelle, Charles-Albert Lehalle, Gilles Pagès
Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modeled by an iterating procedure adjusting the price at which he posts…
Randomized Urn Models revisited using Stochastic Approximation
Sophie Laruelle, Gilles Pagès
This paper presents the link between stochastic approximation and clinical trials based on randomized urn models investigated in Bai and Hu (1999,2005) and Bai, Hu and Shen (2002).…
Stochastic Approximation with Averaging Innovation Applied to Finance
Sophie Laruelle, Gilles Pagès
The aim of the paper is to establish a convergence theorem for multi-dimensional stochastic approximation when the "innovations" satisfy some "light" averaging properties in the pr…
Optimal split of orders across liquidity pools: a stochastic algorithm approach
Sophie Laruelle, Charles-Albert Lehalle, Gilles Pagès
Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large…