Economy – Quantitative Finance – Trading and Market Microstructure
Scientist
Economy
Quantitative Finance
Trading and Market Microstructure
Scientist
PMA
LPMA
Optimal posting distance of limit orders: a stochastic algorithm approach
Optimal split of orders across liquidity pools: a stochastic algorithm approach
Randomized Urn Models revisited using Stochastic Approximation
Stochastic Approximation with Averaging Innovation Applied to Finance
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