Algorithmic Trading with Model Uncertainty.

Álvaro Cartea Ryan Donnelly Sebastian Jaimungal

Published in: SIAM J. Financial Math. (2017)

Keyphrases

experimental data
cost function
mathematical model
formal model
computational model
robust optimization
decision theory
prediction model
statistical model
regression model
machine learning
em algorithm
probabilistic model
data model
objective function
similarity measure
knowledge base
search engine