Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact.

Eyal Neuman Moritz Voß

Published in: SIAM J. Financial Math. (2022)

Keyphrases

signal processing
hearing aids
optimal solution
frequency domain
multiscale
dynamic programming
modulation scheme
electronic commerce
high frequency
signal dependent
original signal
adaptive filter
closed form
steady state
short term
data sets
edge detection
neural network