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Optimal split of orders across liquidity pools: a stochastic algorithm approach
[article]
2010
arXiv
pre-print
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Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize their execution. ...
To solve this problem we devised two stochastic recursive learning procedures which adjust the proportions of the order to be sent to the different venues, one based on an optimization principle, the other ...
This paper is an in depth analysis of the optimal split of orders. ...
arXiv:0910.1166v3
fatcat:eczo2jtph5eq3pnel6ktlrjria
Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach
2011
SIAM Journal on Financial Mathematics
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Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize their execution. ...
To solve this problem we devised two stochastic recursive learning procedures which adjust the proportions of the order to be sent to the different venues, one based on an optimization principle, the other ...
This paper is an in depth analysis of the optimal split of orders. ...
doi:10.1137/090780596
fatcat:le6t6db525dn7azlaheji3bazq
Censored Exploration and the Dark Pool Problem
[article]
2012
arXiv
pre-print
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We prove that our algorithm converges in polynomial time to a near-optimal allocation policy; prior results for similar problems in stochastic inventory control guaranteed only asymptotic convergence and ...
We introduce and analyze a natural algorithm for multi-venue exploration from censored data, which is motivated by the Dark Pool Problem of modern quantitative finance. ...
First, note that the data set conflates the policy the brokerage used for allocation across the dark pools with the liquidity available in the pools themselves. ...
arXiv:1205.2646v1
fatcat:yzk64aiulzdqdmjkumudnd6r64
Censored exploration and the dark pool problem
2010
Communications of the ACM
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We prove that our algorithm converges in polynomial time to a near-optimal allocation policy; prior results for similar problems in stochastic inventory control guaranteed only asymptotic convergence and ...
We introduce and analyze a natural algorithm for multi-venue exploration from censored data, which is motivated by the Dark Pool Problem of modern quantitative finance. ...
First, note that the data set conflates the policy the brokerage used for allocation across the dark pools with the liquidity available in the pools themselves. ...
doi:10.1145/1735223.1735247
fatcat:7uppgm5sfjeg7gdxrb4rrb4zy4
Adaptive trading strategies across liquidity pools
[article]
2020
arXiv
pre-print
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To solve the stochastic control problem of the trader we apply the finite difference method and also develop a deep reinforcement learning algorithm allowing to consider more complex settings. ...
In this article, we provide a flexible framework for optimal trading in an asset listed on different venues. ...
Finally, in [22, 23] , the authors build a stochastic algorithm to find the optimal splitting between liquidity pools, including dark venues. ...
arXiv:2008.07807v1
fatcat:djqtp76vmnfn5lamhkeefze64q
Do Dark Pools Harm Price Discovery?
2013
The Review of financial studies
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Informed traders tend to trade in the same direction, crowd on the heavy side of the market, and face a higher execution risk in the dark pool, relative to uninformed traders. ...
Dark pools are equity trading systems that do not publicly display orders. Dark pools offer potential price improvements but do not guarantee execution. ...
If, however, W e = W d , then it is still optimal for the informed trader to set either M e = M or M d = M, although splitting is also optimal. ...
doi:10.1093/rfs/hht078
fatcat:qdaol3hkivddrkys5xlvesqvym
Do Dark Pools Harm Price Discovery?
2012
Social Science Research Network
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Informed traders tend to trade in the same direction, crowd on the heavy side of the market, and face a higher execution risk in the dark pool, relative to uninformed traders. ...
Dark pools are equity trading systems that do not publicly display orders. Dark pools offer potential price improvements but do not guarantee execution. ...
If, however, W e = W d , then it is still optimal for the informed trader to set either M e = M or M d = M, although splitting is also optimal. ...
doi:10.2139/ssrn.1712173
fatcat:n7nb6d4wyja7nckdkxsjujm5si
Managing Systematic Mortality Risk with Group Self Pooling and Annuitisation Schemes
2011
Social Science Research Network
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of systematic mortality improvements across different ages of members in the pool. ...
The paper uses a multiple-factor stochastic Gompertz-Makeham model of mortality, calibrated to Australian data, to demonstrate the significance of these issues. ...
Acknowledgement The authors acknowledge the support of ARC Linkage Grant Project LP0883398 Managing Risk with Insurance and Superannuation as Individuals Age with industry partners PwC and APRA. ...
doi:10.2139/ssrn.1791162
fatcat:7ejinnuklnczpgmiutlpqkogh4
Managing Systematic Mortality Risk With Group Self-Pooling and Annuitization Schemes
2012
Journal of Risk and Insurance
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This paper has been prepared for the Institute of Actuaries of Australia's (Institute) 2011 Biennial Convention. ...
The Institute Council wishes it to be understood that opinions put forward herein are not necessarily those of the Institute and the Council is not responsible for those opinions. ...
Acknowledgement The authors acknowledge the support of ARC Linkage Grant Project LP0883398 Managing Risk with Insurance and Superannuation as Individuals Age with industry partners PwC and APRA. ...
doi:10.1111/j.1539-6975.2012.01483.x
fatcat:schnuajeijcgbp4m7oyfco4hhu
Swarm intelligence algorithms for macroscopic traffic flow model validation with automatic assignment of fundamental diagrams
2016
Applied Soft Computing
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A total of ten different algorithms were considered and compared with respect to their ability to converge to a solution, which remains valid for different sets of data. ...
The design of the system used is highly generic and allows for a number of evolutionary and swarm intelligence algorithms to be used. Two UK sites have been used for testing it. ...
Acknowledgement The authors would like to thank the Highways Agency for the use of MIDAS data, EPSRC for providing funding for this work and Ms. ...
doi:10.1016/j.asoc.2015.09.011
fatcat:x33hjllkuveapinx76sznhdmyu
Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process
[article]
2013
arXiv
pre-print
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A great deal of academic and theoretical work has been dedicated to optimal liquidation of large orders these last twenty years. ...
The optimal split of an order through time ('optimal trade scheduling') and space ('smart order routing') is of high interest to practitioners because of the increasing complexity of the market micro structure ...
Acknowledgments Most of the data and graphics used here come from the work of Crédit Agricole Cheuvreux Quantitative Research group. ...
arXiv:1302.4592v1
fatcat:vggns5ihfjefhlliwsm5hrhbxu
Facing Up to Longevity with Old Actuarial Methods: A Comparison of Pooled Funds and Income Tontines
2017
Geneva papers on risk and insurance. Issues and practice
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Such freedom of action is a quite remarkable feature and one that cannot be matched by lifelong contracts. ...
We stress that the notion of actuarial fairness, which characterizes pooled annuity overlay funds, enables participants to join and exit the fund at any time. ...
Jens Perch Nielsen was funded by the research grant ``Minimizing longevity and investment risk while optimizing future pension plans'', sponsored by the Institute and Faculty of Actuaries, UK. ...
doi:10.1057/s41288-017-0056-1
fatcat:lxxkyrgml5f4xisha4cdbqnurm
Recent Advances in Reinforcement Learning in Finance
[article]
2021
arXiv
pre-print
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Our survey concludes by discussing the application of these RL algorithms in a variety of decision-making problems in finance, including optimal execution, portfolio optimization, option pricing and hedging ...
Various algorithms are then introduced with a focus on value and policy based methods that do not require any model assumptions. ...
Smart Order Routing In order to execute a trade of a given asset, market participants may have the opportunity to split the trade and submit orders to different venues, including both lit pools and dark ...
arXiv:2112.04553v1
fatcat:ay66scqcknhrlkvyvhlzonx4gy
Optimal order placement in limit order markets
2016
Quantitative finance (Print)
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For the general problem of order placement across multiple exchanges, we propose a stochastic algorithm for computing the optimal policy and study the sensitivity of the solution to various parameters ...
In the case of a single exchange, we derive an explicit solution for the optimal split between limit and market orders. ...
to optimize order executions across multiple dark pools, where supply/demand is unobserved. ...
doi:10.1080/14697688.2016.1190030
fatcat:aulesaltojg5tojuca5aoh4ebu
Optimal Order Placement in Limit Order Markets
2012
Social Science Research Network
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A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2017; you can also visit the original URL.
The file type is application/pdf.
For the general problem of order placement across multiple exchanges, we propose a stochastic algorithm for computing the optimal policy and study the sensitivity of the solution to various parameters ...
In the case of a single exchange, we derive an explicit solution for the optimal split between limit and market orders. ...
to optimize order executions across multiple dark pools, where supply/demand is unobserved. ...
doi:10.2139/ssrn.2155218
fatcat:ksadoks64jg73ok4pmpp7i5wle
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