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Found 5 papers, 1 papers with code
Unwinding Stochastic Order Flow: When to Warehouse Trades
We study how to unwind stochastic order flow with minimal transaction costs.
Learning Lie Group Symmetry Transformations with Neural Networks
The problem of detecting and quantifying the presence of symmetries in datasets is useful for model selection, generative modeling, and data analysis, amongst others.
The Cost of Misspecifying Price Impact
Portfolio managers' orders trade off return and trading cost predictions.
Learning reversible symplectic dynamics
Time-reversal symmetry arises naturally as a structural property in many dynamical systems of interest.
Optimal brokerage contracts in Almgren-Chriss model with multiple clients
This paper constructs optimal brokerage contracts for multiple (heterogeneous) clients trading a single asset whose price follows the Almgren-Chriss model.
