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Optimal starting times, stopping times and risk measures for algorithmic trading
Quantitative Finance High-Frequency Trading Algorithmic Trading Optimal Execution Market Impact Risk Measures
2012/6/4
We derive explicit recursive formulas for Target Close (TC) and Implementation Shortfall (IS) in the Almgren-Chriss framework. We explain how to compute the optimal starting and stopping times for IS ...
Selfdecomposability perpetuity laws and stopping times
Selfdecomposability perpetuity laws stopping times
2009/9/22
The decomposability property of Levy class L of
probability distributions, on a Banach space, is extended to a family of
stopping times associated with background driving Uvy processes
(BDLP). As c...
Formulas for the Laplace Transform of Stopping Times based on Drawdowns and Drawups
Laplace Transform Drawdowns and Drawups
2010/11/3
In this work we study drawdowns and drawups of general diffu-sion processes. The drawdown process is defined as the current drop of the process from its running maximum, while the drawup process is de...
Tracking Stopping Times Through Noisy Observations
Algorithm quickest detection problem decision theory synchronization forecasting monitoring sequential analysis
2010/4/26
A novel quickest detection setting is proposed which is a generalization of the well-known Bayesian changepoint detection model. Suppose {(Xi, Yi)}i1 is a sequence of pairs of random variables, and t...