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London, England WC2R 2LS
United Kingdom
King's College London
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order imbalance, algorithmic trading, high-frequency trading, order flow, market making, adverse selection
market making, algorithmic trading, high frequency trading, robust optimization, ambiguity aversion, Knightian uncertainty, Poisson random measures, short term alpha, adverse selection
algorithmic trading, price impact, stochastic optimization
Insurance Guarantees, Withdrawal Benefits, Stochastic Volatility, Stochastic Interest Rates, ADI methods, Asian Options, Mixed Fund
algorithmic trading, high frequency trading, limit order book, queuing model, order flow, impulse control, adverse selection
Optimal Execution, Ambiguity Aversion, Model Uncertainty, Algorithmic Trading, High Frequency Trading, Short Term Alpha, Adverse Selection, Robust Optimization
algorithmic trading, ambiguity aversion, stochastic control
algorithmic trading, hedging, price impact
stochastic control, exploratory control, entropy regularization, reinforcement learning
real options, mean field games, equilibrium, optimal control
algorithmic trading, mean-field games
market microstructure, asymmetric information, price impact, transaction cost
mean-field game, dynamic pricing, optimal control
informed trading, market making, equilibrium, algorithmic trading