20 citations · 24 across the 4 of their papers we have counts for
3 papers · 1 filter
Optimal trading using signals
Hadrien De March, Charles-Albert Lehalle
In this paper we propose a mathematical framework to address the uncertainty emergingwhen the designer of a trading algorithm uses a threshold on a signal as a control. We rely ona…
Co-impact: Crowding effects in institutional trading activity
Frédéric Bucci, Iacopo Mastromatteo, Zoltán Eisler +3
This paper is devoted to the important yet unexplored subject of crowding effects on market impact, that we call "co-impact". Our analysis is based on a large database of metaorder…
Optimal liquidity-based trading tactics
Charles-Albert Lehalle, Othmane Mounjid, Mathieu Rosenbaum
We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to fin…