| Issue |
ESAIM: ProcS
Volume 45, September 2014
Congrès SMAI 2013
|
|
|---|---|---|
| Page(s) | 219 - 228 | |
| DOI | https://doi.org/10.1051/proc/201445022 | |
| Published online | 13 November 2014 | |
Optimization and statistical methods for high frequency finance*
1 Université Paris-Dauphine and CEREMADE, CNRS UMR 7534.
2 EXQIM.
3 Capital Fund Management (CFM).
4 Université Pierre et Marie Curie and LPMA, CNRS UMR
7599.
5 Université Paris-Diderot and LPMA, CNRS UMR 7599.
6 Université Pierre et Marie Curie and LPMA, CNRS UMR
7599.
High Frequency finance has recently evolved from statistical modeling and analysis of financial data – where the initial goal was to reproduce stylized facts and develop appropriate inference tools – toward trading optimization, where an agent seeks to execute an order (or a series of orders) in a stochastic environment that may react to the trading algorithm of the agent (market impact, invoentory). This context poses new scientific challenges addressed by the minisymposium OPSTAHF.
© EDP Sciences, SMAI 2014
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