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We develop the optimal trading strategy for a foreign exchange (FX) broker who must liquidate a large position in an illiquid currency pair. To maximize revenues, the broker considers trading in a currency triplet which consists of the…
This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be…
Algorithmic trading, due to its inherent nature, is a difficult problem to tackle; there are too many variables involved in the real world which make it almost impossible to have reliable algorithms for automated stock trading. The lack of…
A combinatorial trade is a pair of sets of blocks of elements that can be exchanged while preserving relevant subset intersection constraints. The class of balanced and swap-robust minimal trades was proposed in [1] for exchanging blocks of…
An investment portfolio consists of $n$ algorithmic trading strategies, which generate vectors of positions in trading assets. Sign opposite trades (buy/sell) cross each other as strategies are combined in a portfolio. Then portfolio…
The potential of machine learning to automate and control nonlinear, complex systems is well established. These same techniques have always presented potential for use in the investment arena, specifically for the managing of equity…
Rather than directly predicting future prices or returns, we follow a more recent trend in asset management and classify the state of a market based on labels. We use numerous standard labels and even construct our own ones. The labels rely…
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean-reverting spreads enjoying a certain degree of predictability. Gaussian linear state-space processes have recently been…
This paper assesses the link between central bank's policy rate, inflation rate and output gap through Taylor rule equation in both United States and United Kingdom from 1990 to 2020. Also, it analyses the relationship between monetary…
A trading system is said to be {robust} if it generates a robust return regardless of market direction. To this end, a consistently positive expected trading gain is often used as a robustness metric for a trading system. In this paper, we…
The Foreign Exchange (Forex) is a large decentralized market, on which trading analysis and algorithmic trading are popular. Research efforts have been focusing on proof of efficiency of certain technical indicators. We demonstrate,…
Pairs trading is a family of trading techniques that determine their policies based on monitoring the relationships between pairs of assets. A common pairs trading approach relies on describing the pair-wise relationship as a linear Space…
Bitcoin is firmly becoming a mainstream asset in our global society. Its highly volatile nature has traders and speculators flooding into the market to take advantage of its significant price swings in the hope of making money. This work…
We study a systematic approach to a popular Statistical Arbitrage technique: Pairs Trading. Instead of relying on two highly correlated assets, we replace the second asset with a replication of the first using risk factor representations.…
In this paper we show that when individuals in a bipartite network exclusively choose partners and exchange valued goods with their partners, then there exists a set of exchanges that are pair-wise stable. Pair-wise stability implies that…
We study the optimal timing strategies for trading a mean-reverting price process with afinite deadline to enter and a separate finite deadline to exit the market. The price process is modeled by a diffusion with an affine drift that…
We consider a basic model of multi-period trading, which can be used to evaluate the performance of a trading strategy. We describe a framework for single-period optimization, where the trades in each period are found by solving a convex…
Technical trading represents a class of investment strategies for Financial Markets based on the analysis of trends and recurrent patterns of price time series. According standard economical theories these strategies should not be used…
The intricate behavior patterns of financial markets are influenced by fundamental, technical, and psychological factors. During times of high volatility and regime shifts causes many traditional strategies like trend-following or…
Market manipulation is a strategy used by traders to alter the price of financial securities. One type of manipulation is based on the process of buying or selling assets by using several trading strategies, among them spoofing is a popular…