49 search results - page 1 / 10 » Market making and mean reversion |
SIGECOM
2011
ACM
12 years 7 months ago
2011
ACM
Market making refers broadly to trading strategies that seek to profit by providing liquidity to other traders, while avoiding accumulating a large net position in a stock. In th...
FS
2011
12 years 8 months ago
2011
Harrison and Kreps showed in 1978 how the heterogeneity of investor beliefs can drive speculation, leading the price of an asset to exceed its intrinsic value. By focusing on an e...
CORR
2007
Springer
13 years 4 months ago
2007
Springer
Given multivariate time series, we study the problem of forming portfolios with maximum mean reversion while constraining the number of assets in these portfolios. We show that it...
KES
2007
Springer
13 years 10 months ago
2007
Springer
In this paper we propose a financial trading system whose strategy is developed by means of an artificial neural network approach based on a recurrent reinforcement learning algo...
CORR
2008
Springer
13 years 4 months ago
2008
Springer
Getting agents in the Internet, and in networks in general, to invest in and deploy security features and protocols is a challenge, in particular because of economic reasons arisi...