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Optimal starting times, stopping times and risk measures for algorithmic trading
We derive explicit recursive formulas for Target Close (TC) and Implementation Shortfall (IS) in the Almgren-Chriss framework. We explain how to compute the optimal... -
Preliminary remarks on option pricing and dynamic hedging
International audience -
High-frequency market-making with inventory constraints and directional bets
We extend the market-making models with inventory constraints of Avellaneda and Stoikov ("High-frequency trading in a limit-order book", Quantitative Finance Vol.8... -
IPO activity and information in secondary market prices
International audience
