Search Results for author: A. Papanicolaou

Found 3 papers, 0 papers with code

An Optimal Control Strategy for Execution of Large Stock Orders Using LSTMs

no code implementations23 Jan 2023 A. Papanicolaou, H. Fu, P. Krishnamurthy, B. Healy, F. Khorrami

The example that we consider is the liquidation of a large position executed over the course of a single trading day in a limit order book.

Statistical Arbitrage for Multiple Co-Integrated Stocks

no code implementations6 Aug 2019 T. N. Li, A. Papanicolaou

In this article, we analyse optimal statistical arbitrage strategies from stochastic control and optimisation problems for multiple co-integrated stocks with eigenportfolios being factors.

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