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Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein-Uhlenbeck Dynamics.

Philippe BergaultFayçal DrissiOlivier Guéant
Published in: SIAM J. Financial Math. (2022)
Keyphrases
  • optimal strategy
  • optimal solution
  • dynamic programming
  • closed form
  • asymptotically optimal
  • reinforcement learning
  • denoising
  • dynamical systems
  • financial markets