An online adaptive learning algorithm for optimal trade execution in high-frequency markets
A thesis submitted in fulfilment of the requirements for the degree of Doctor of Philosophy in the Faculty of Science, School of Computer Science and Applied Mathematics University of the Witwatersrand. October 2016. === Automated algorithmic trade execution is a central problem in modern financi...
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| Format: | Others |
| Language: | en |
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2017
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| Online Access: | Hendricks, Dieter (2016) An online adaptive learning algorithm for optimal trade execution in high-frequency markets, University of Witwatersrand, Johannesburg, <http://wiredspace.wits.ac.za/handle/10539/21710> http://hdl.handle.net/10539/21710 |