Matches in SemOpenAlex for { <https://semopenalex.org/work/W4292735472> ?p ?o ?g. }
Showing items 1 to 82 of
82
with 100 items per page.
- W4292735472 abstract "Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading performance. It also gives theoretical foundations to a generic framework for real-time trading analysis. Academic literature provides different ways to formalize these algorithms and show how optimal they can be from a mean-variance, a stochastic control, an impulse control or a statistical learning viewpoint. This paper is agnostic about the way the algorithm has been built and provides a theoretical formalism to identify in real-time the market conditions that influenced its efficiency or inefficiency. For a given set of characteristics describing the market context, selected by a practitioner, we first show how a set of additional derived explanatory factors, called anomaly detectors, can be created for each market order. We then will present an online methodology to quantify how this extended set of factors, at any given time, predicts which of the orders are underperforming while calculating the predictive power of this explanatory factor set. Armed with this information, which we call influence analysis, we intend to empower the order monitoring user to take appropriate action on any affected orders by re-calibrating the trading algorithms working the order through new parameters, pausing their execution or taking over more direct trading control. Also we intend that use of this method in the post trade analysis of algorithms can be taken advantage of to automatically adjust their trading action." @default.
- W4292735472 created "2022-08-23" @default.
- W4292735472 creator A5005713471 @default.
- W4292735472 creator A5008221537 @default.
- W4292735472 creator A5015468611 @default.
- W4292735472 creator A5037568048 @default.
- W4292735472 creator A5068822176 @default.
- W4292735472 creator A5077512372 @default.
- W4292735472 date "2013-02-26" @default.
- W4292735472 modified "2023-10-17" @default.
- W4292735472 title "Realtime market microstructure analysis: online Transaction Cost Analysis" @default.
- W4292735472 doi "https://doi.org/10.48550/arxiv.1302.6363" @default.
- W4292735472 hasPublicationYear "2013" @default.
- W4292735472 type Work @default.
- W4292735472 citedByCount "0" @default.
- W4292735472 crossrefType "posted-content" @default.
- W4292735472 hasAuthorship W4292735472A5005713471 @default.
- W4292735472 hasAuthorship W4292735472A5008221537 @default.
- W4292735472 hasAuthorship W4292735472A5015468611 @default.
- W4292735472 hasAuthorship W4292735472A5037568048 @default.
- W4292735472 hasAuthorship W4292735472A5068822176 @default.
- W4292735472 hasAuthorship W4292735472A5077512372 @default.
- W4292735472 hasBestOaLocation W42927354721 @default.
- W4292735472 hasConcept C10138342 @default.
- W4292735472 hasConcept C119857082 @default.
- W4292735472 hasConcept C124101348 @default.
- W4292735472 hasConcept C131562839 @default.
- W4292735472 hasConcept C149782125 @default.
- W4292735472 hasConcept C151730666 @default.
- W4292735472 hasConcept C158876240 @default.
- W4292735472 hasConcept C162324750 @default.
- W4292735472 hasConcept C172428447 @default.
- W4292735472 hasConcept C175444787 @default.
- W4292735472 hasConcept C177264268 @default.
- W4292735472 hasConcept C182306322 @default.
- W4292735472 hasConcept C199360897 @default.
- W4292735472 hasConcept C2778869765 @default.
- W4292735472 hasConcept C2779343474 @default.
- W4292735472 hasConcept C41008148 @default.
- W4292735472 hasConcept C51926234 @default.
- W4292735472 hasConcept C739882 @default.
- W4292735472 hasConcept C75949130 @default.
- W4292735472 hasConcept C78508483 @default.
- W4292735472 hasConcept C86803240 @default.
- W4292735472 hasConceptScore W4292735472C10138342 @default.
- W4292735472 hasConceptScore W4292735472C119857082 @default.
- W4292735472 hasConceptScore W4292735472C124101348 @default.
- W4292735472 hasConceptScore W4292735472C131562839 @default.
- W4292735472 hasConceptScore W4292735472C149782125 @default.
- W4292735472 hasConceptScore W4292735472C151730666 @default.
- W4292735472 hasConceptScore W4292735472C158876240 @default.
- W4292735472 hasConceptScore W4292735472C162324750 @default.
- W4292735472 hasConceptScore W4292735472C172428447 @default.
- W4292735472 hasConceptScore W4292735472C175444787 @default.
- W4292735472 hasConceptScore W4292735472C177264268 @default.
- W4292735472 hasConceptScore W4292735472C182306322 @default.
- W4292735472 hasConceptScore W4292735472C199360897 @default.
- W4292735472 hasConceptScore W4292735472C2778869765 @default.
- W4292735472 hasConceptScore W4292735472C2779343474 @default.
- W4292735472 hasConceptScore W4292735472C41008148 @default.
- W4292735472 hasConceptScore W4292735472C51926234 @default.
- W4292735472 hasConceptScore W4292735472C739882 @default.
- W4292735472 hasConceptScore W4292735472C75949130 @default.
- W4292735472 hasConceptScore W4292735472C78508483 @default.
- W4292735472 hasConceptScore W4292735472C86803240 @default.
- W4292735472 hasLocation W42927354721 @default.
- W4292735472 hasLocation W42927354722 @default.
- W4292735472 hasOpenAccess W4292735472 @default.
- W4292735472 hasPrimaryLocation W42927354721 @default.
- W4292735472 hasRelatedWork W1552949382 @default.
- W4292735472 hasRelatedWork W1863543693 @default.
- W4292735472 hasRelatedWork W2169443334 @default.
- W4292735472 hasRelatedWork W2292370562 @default.
- W4292735472 hasRelatedWork W2597489117 @default.
- W4292735472 hasRelatedWork W2952412697 @default.
- W4292735472 hasRelatedWork W3122261874 @default.
- W4292735472 hasRelatedWork W3124859469 @default.
- W4292735472 hasRelatedWork W3162950604 @default.
- W4292735472 hasRelatedWork W572556478 @default.
- W4292735472 isParatext "false" @default.
- W4292735472 isRetracted "false" @default.
- W4292735472 workType "article" @default.