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Algorithmic Trading, High Frequency Trading, Short Term Alpha, Adverse Selection, Self-Exciting Processes, Hawkes Processes
order imbalance, algorithmic trading, high-frequency trading, order flow, market making, adverse selection
High Frequency Traders, Algorithmic Trading, Durations, Hidden Markov Model
Algorithmic Trading, High Frequency Trading, Nonlinear Filtering, Brownian Bridge, Stochastic Optimal Control, Adverse Selection
Algorithmic Trading, High Frequency Trading, Momentum Trading, Market Impact, Adverse Selection, Risk Metrics, Inventory Risk
reinforcement learning, machine learning, algorithmic trading, foreign exchange, triplets
Pairs trading, algorithmic trading, high-frequency trading, co-integration, short-term alpha, stochastic control
market making, algorithmic trading, high frequency trading, robust optimization, ambiguity aversion, Knightian uncertainty, Poisson random measures, short term alpha, adverse selection
Algorithmic Trading, High Frequency Trading, Optimal Execution, Impulse Control
Fourier space time-stepping, option pricing, Levy processes, multi-asset options
Order-Flow, Algorithmic Trading, High Frequency Trading, Acquisition, Liquidation, Price Impact
Algorithmic trading, high-frequency trading, optimal execution, stochastic optimal control, mean-field games, market microstructure
Multi asset commodity derivatives, Option pricing, Mean reverting Levy processes, Fourier transform based method
VWAP, POV, TWAP, Algorithmic Trading, High Frequency Trading, Acquisition, Liquidation
Algorithmic Trading, Statistical Arbitrage, Latent Alpha, Stochastic Control, Machine Learning
Last Look, Foreign Exchange, Latency Arbitrage, Spamming, Spraying, Stale Quotes, Algorithmic Trading, Low Latency Traders, High-Frequency Trading
Accelerated Share Repurchase, Optimal Liquidation, American Option, Stochastic Control, Optimal Stopping
Optimal Execution, Optimal Liquidation, Stochastic Control, Conditional Tail Expectation, Limit Order Book
Market making, Spoofing, Layering, High-frequency trading, Market quality
Algorithmic Trading, High Frequency Trading, Market Making, Short Term Alpha, Adverse Selection, Order Flow
algorithmic trading, optimal execution, price impact, cointegration, cross price impact
generative models, neural SDEs, functional data analysis, implied volatility
Option pricing, interest-rate derivatives, affine models, fourier space time-stepping, accrual swaps, range notes
Optimal Trading, high-frequency Trading, Algorithmic Trading, Limit Orders, Market Orders, Stochastic Control, Impulse Control, No-arbitrage bounds
Portfolio Allocation, Behavioural Finance, Wasserstein Distance, Tail Value-at-Risk, Benchmark
Real Options, Ambiguity Aversion, Risk Aversion, Robust Optimal Control, Indifference Pricing
Cryptocurrency, Optimal Trading, Automatic Market Makers, Decentralized Finance, Deep learning, Stochastic Control
Real Options, Managerial Information, Cash-Flow Replication, Indifference Pricing, Entry-Exit Problem
Option pricing, Levy processes, regime switching, Fourier methods, American options, catastrophe options
Ambiguity aversion, Knightian uncertainty, Commodities, Certainty Equivalent, Robust Pricing, Indifference Pricing, Optimal Control
Gas storage, Swing Options, LSMC
Marked point processes, high-frequency trading, algorithmic trading, latency, forward-backward stochastic differential equations
Optimal hedging, market impact, impulse control, algorithmic trading, high-frequency trading
Dynamic Risk Measures, Reinforcement Learning, Risk-Awareness, Elicitability, Consistent Scoring Functions,Time-Consistency, Actor-Critic Algorithm, Portfolio Allocation, Statistical Arbitrage
Foreign Exchange, Currency Pairs, Optimal Liquidation, Execution, Inventory Aversion, Ambiguity Aversion
Copula, Kernel Methods, Gaussian Processes, Time-Series Analysis, Heteroskedasticity, Maximum Likelihood Estimation, Financial Derivatives, Risk Management
Insurance Guarantees, Withdrawal Benefits, Stochastic Volatility, Stochastic Interest Rates, ADI methods, Asian Options, Mixed Fund
Gerber-Shiu expected discounted penalty function, Integro-differential equation, Singular perturbation theory, Stochastic volatility, Perturbed compound Poisson risk process, Phase-type distribution, Ornstein-Uhlenbeck process
Active portfolio management, Stochastic Portfolio Theory, Portfolio Optimization, Stochastic Control, Growth Optimal Portfolio, Functionally Generated Portfolios
Algorithmic Trading, High Frequency Trading, Short Term Alpha, Adverse Selection, Self-Exciting Processes, Hawkes processes
Strucutural Models, Intensity Models, Stochastic Optimal Control, Robust Optimization, Indifference Valuation, Defaultable Bonds, Credit Default Swap
Real Options, Mean-Reverting, Investment under Uncertainty, Uncertain Costs
Spectral Methods, Stochastic Volatility, Barrier Options
Optimal Execution, Ambiguity Aversion, Model Uncertainty, Algorithmic Trading, High Frequency Trading, Short Term Alpha, Adverse Selection, Robust Optimization
least-squares Monte Carlo, bermudan options, stochastic volatility, variance reduction, dimension reduction
Ambiguity Aversion, Model Uncertainty, Electricity Interconnector, Statistical Arbitrage
Catastrophe Derivatives, Catastrophe Risk, Regime Switching, Self-Exciting Processes
Interbank Borrowing and Lending, Mean-Field Games, Nash Equilibrium, Stochastic Games, Model Uncertainty, Ambiguity Aversion
Dynamic Risk Measures, Portfolio Allocation, Risk Parity, Elicitability, Deep Learning
Robust Optimisation, Reinforcement Learning, Risk Measures, Wasserstein Distance, Statistical Arbitrage, Portfolio Optimisation
Active Portfolio Management, Convex Analysis, Stochastic Portfolio Theory, Growth Optimal Portfolio, Hidden Markov Models, Partial information, Machine Learning
algorithmic trading, hedging, price impact
Reverse Stress Testing, Compound Poisson Processes, KL divergence, Value-at-Risk, Conditional Value-at-Risk
Real Options, Irreversible Investment, Technical Uncertainty, Learning
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real option, investment under uncertainty, technical uncertainty, irreversibility, Markov chains.
stochastic control, exploratory control, entropy regularization, reinforcement learning
Relative entropy, Kullback-Leibler, Levy-Ito processes, Reverse sensitivity, Risk Management, Model Uncertainty, Cryptocurrency
OR in natural resources, Irreversible investment, Real options, Oilsands
Reinforcement Learning, Risk Measures, Option Hedging
Mean-Field Games, Nash Equilibrium, Stochastic Games, Model Uncertainty, Ambiguity Aversion
Commodity Markets, Stochastic Control, SREC, Cap and Trade, Market Design
Stackelberg game, reinsurance, excess-of-loss reinsurance, barycentre, Kullback-Leibler divergence