英文标题：
《Optimal trading with online parameters revisions》
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作者：
N Baradel (CEREMADE, CREST), B Bouchard (CEREMADE), Ngoc Minh Dang
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最新提交年份：
2016
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英文摘要：
The aim of this paper is to explain how parameters adjustments can be integrated in the design or the control of automates of trading. Typically, we are interested by the online estimation of the market impacts generated by robots or single orders, and how they/the controller should react in an optimal way to the informations generated by the observation of the realized impacts. This can be formulated as an optimal impulse control problem with unknown parameters, on which a prior is given. We explain how a mix of the classical Bayesian updating rule and of optimal control techniques allows one to derive the dynamic programming equation satisfied by the corresponding value function, from which the optimal policy can be inferred. We provide an example of convergent finite difference scheme and consider typical examples of applications.
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中文摘要：
本文的目的是解释如何将参数调整整合到交易自动化的设计或控制中。通常，我们对机器人或单个订单产生的市场影响的在线估计感兴趣，以及机器人/控制器应如何以最佳方式对观察到的影响产生的信息作出反应。这可以表述为一个具有未知参数的最优脉冲控制问题，在此问题上给出了先验知识。我们解释了如何将经典的贝叶斯更新规则和最优控制技术相结合，推导出相应的值函数所满足的动态规划方程，从中可以推断出最优策略。我们提供了一个收敛有限差分格式的例子，并考虑了典型的应用实例。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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