Computational finance is one of the fields where machine learning and data mining have found in recent years a large application. Neverthless, there are still many open issues regarding the predictability of the stock market, and the possibility to build an automatic intelligent trader able to make forecasts on stock prices, and to develop a profitable trading strategy. In this paper, we propos...

We are interested in model risk control problems. We study a strategy for the trader which, in a sense, guarantees good performances whatever is the unknown model for the assets of his/her portfolio. The trader chooses trading strategies to decrease the risk and therefore acts as a minimizer; the market systematically acts against the interest of the trader, so that we consider it acts as a max...

Latency is the time delay between an exchange streaming market data to a trader, trader processing information and deciding trade, receiving order from trader. Liquidity takers face moving target problem as consequence of their latency in marketplace. They send orders with limit price that aim at quantity they observed book (LOB), by processed exchange, prices could have worsened, so may not be...

In a finite-trader version of the Diamond-Dybvig (1983) model, the symmetric, ex-ante efficient allocation is implementable by a direct mechanism (i.e., each trader announces the type of his own ex-post preference) in which truthful revelation is the strictly dominant strategy for each trader. When the model is modified by formalizing the sequential-service constraint (cf. Wallace, 1988), the t...

We consider a trader who aims to liquidate a large position in the presence of anarbitrageur who hopes to profit from the trader’s activity. The arbitrageur is uncer-tain about the trader’s position and learns from observed price fluctuations. This isa dynamic game with asymmetric information. We present an algorithm for comput-ing perfect Bayesian equilibrium behavior and c...

We consider a trader who aims to liquidate a large position in the presence of an arbitrageur who hopes to profit from the trader’s activity. The arbitrageur is uncertain about the trader’s position and learns from observed price fluctuations. This is a dynamic game with asymmetric information. We present an algorithm for computing perfect Bayesian equilibrium behavior and conduct numerical exp...