Abstract. Although there is a plentiful literature on the use of evolutionary methodologies for the trading of financial assets, little attention has been paid to potential use of...
In this paper, we address the importance of efficient execution in electronic markets. Due to intense competition for profit opportunities, trading costs can represent a significa...
Yuriy Nevmyvaka, Michael S. Kearns, Amy Papandreou...
We consider the problem of dynamic buying and selling of shares from a collection of N stocks with random price fluctuations. To limit investment risk, we place an upper bound on t...
We consider the problem of optimal position liquidation with the aim of maximizing the expected cash flow stream from the transaction in the presence of temporary or permanent ma...