We describe an ex- tensive experimental evaluation of our algo- rithm on the Dark Pool Problem using real trading data. 1 Introduction. We analyze a framework ...
May 9, 2012 · Abstract:We introduce and analyze a natural algorithm for multi-venue exploration from censored data, which is motivated by the Dark Pool ...
Dark pools are a recent type of stock exchange in which information about outstanding orders is deliberately hid- den in order to minimize the market impact of ...
May 1, 2010 · Abstract. Dark pools are a recent type of stock exchange in which information about outstanding orders is deliberately hidden in order to ...
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This work formalizes the problem of optimizing the allocation of a large trade over multiple competing dark pools as a problem of multi-venue exploration ...
In this work we formalize this as a problem of multi-venue exploration from censored data, and provide a provably efficient and near-optimal algorithm for its ...
Abstract. Dark pools are a recent type of stock exchange in which information about outstanding orders is deliberately hidden in order to minimize the market ...
Sep 22, 2009 · Dark pools are a relatively recent type of stock exchange in which information about outstanding orders is deliberately hidden in order to ...
Dec 15, 2020 · This article presents a review, discussion and implementation of the paper Censored Exploration and the Dark Pool Problem by Kuzman Ganchev, ...
While presenting their own trading challenges, dark pools have become tremendously popular exchanges, responsible for executing 10-20% of the overall US eq- ...