MoneyScience News |
- Blog Post: ThePracticalQuant: Hardcore Data Science, NYC 2015
- Published / Preprint: Volume Weighted Average Price Optimal Execution. (arXiv:1509.08503v1 [q-fin.TR])
- Published / Preprint: Maximum likelihood estimators for a jump-type Heston model. (arXiv:1509.08869v1 [math.ST])
| Blog Post: ThePracticalQuant: Hardcore Data Science, NYC 2015 Posted: 29 Sep 2015 07:56 PM PDT Ben Recht and I hosted another great edition of Hardcore Data Science in NYC yesterday. From the very first talk, the room was full, the audience was attentive, and the energy in the room was high â€" and it remained that way throughout the day.Here’s a link to my Twitter summary. Visit MoneyScience for the Complete Article. |
| Posted: 29 Sep 2015 05:37 PM PDT We study the problem of optimal execution of a trading order under Volume Weighted Average Price (VWAP) benchmark, from the point of view of a risk-averse broker. The problem consists in minimizing mean-variance of the slippage, with quadratic transaction costs. We devise multiple ways to solve it, in particular we study how to incorporate the information coming from the market during the... Visit MoneyScience for the Complete Article. |
| Posted: 29 Sep 2015 05:37 PM PDT We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations of the price process together with its jump part. We prove strong consistency and asymptotic normality for all admissible parameter values except one, where we show only weak consistency and non-normal asymptotic behavior. We also present some... Visit MoneyScience for the Complete Article. |
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