What are stochastic models of algorithmic trading?

Probability in the Informational and Engineering Sciences ... Stochastics: An International Journal of Probability and Stochastic Processes (formerly Stochastics ... In particular, if we partition a set of stochastic processes into groups whose sums must be forecast independently, then the statistical properties of each ... Some informational properties of Markov pure-jump processes. Časopis pro ... bedded associated process, which is a bivariate discrete-time Markov process. While classical state-space reconstruction won't work on stochastic processes, such processes do have state-space representations [11], and, in the special ... Nov 11, 2016 ... We consider stochastic dynamics of interacting systems and , which are not necessarily Markov processes. We consider a discrete time k (=1, …, N) ... We studied how this growth process shapes the length distribution of informational polymers. Using stochastic simulations, we find that the process generally ... The dynamic features are governed by the information flow, modeled as a stochastic volatility process, and generalize standard ARCH specifications. Oct 1, 2017 ... Convection processes have also been proposed to be represented through stochastic parameterizations (Christensen et al. 2015). Some climate ... ... informational divergence between two Markov processes at ... Markov chains defined by a memoryless stochastic matrix correspond in fact to an iid process. Jul 25, 2023 ... The aggregated stochastic processes can be used to decribe evolution processes with group information observed, for example, the underlying ...