{"id":"https://openalex.org/W2885740464","doi":"https://doi.org/10.1137/18m1176968","title":"Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes","display_name":"Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes","publication_year":2018,"publication_date":"2018-01-01","ids":{"openalex":"https://openalex.org/W2885740464","doi":"https://doi.org/10.1137/18m1176968","mag":"2885740464"},"language":"en","primary_location":{"id":"doi:10.1137/18m1176968","is_oa":false,"landing_page_url":"https://doi.org/10.1137/18m1176968","pdf_url":null,"source":{"id":"https://openalex.org/S160107561","display_name":"SIAM Review","issn_l":"0036-1445","issn":["0036-1445","1095-7200"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Review","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5040951539","display_name":"\u00c1lvaro Cartea","orcid":"https://orcid.org/0000-0002-7426-4645"},"institutions":[{"id":"https://openalex.org/I40120149","display_name":"University of Oxford","ror":"https://ror.org/052gg0110","country_code":"GB","type":"education","lineage":["https://openalex.org/I40120149"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"\u00c1lvaro Cartea","raw_affiliation_strings":["Mathematical Institute, University of Oxford, Oxford, UK"],"affiliations":[{"raw_affiliation_string":"Mathematical Institute, University of Oxford, Oxford, UK","institution_ids":["https://openalex.org/I40120149"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5016897782","display_name":"Sebastian Jaimungal","orcid":"https://orcid.org/0000-0002-0193-0993"},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Sebastian Jaimungal","raw_affiliation_strings":["Department of Statistics, University of Toronto, Toronto M5S3G3, Canada"],"affiliations":[{"raw_affiliation_string":"Department of Statistics, University of Toronto, Toronto M5S3G3, Canada","institution_ids":["https://openalex.org/I185261750"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5080315550","display_name":"Jason Ricci","orcid":null},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Jason Ricci","raw_affiliation_strings":["Department of Statistics, University of Toronto, Toronto M5S3G3, Canada"],"affiliations":[{"raw_affiliation_string":"Department of Statistics, University of Toronto, Toronto M5S3G3, Canada","institution_ids":["https://openalex.org/I185261750"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5040951539"],"corresponding_institution_ids":["https://openalex.org/I40120149"],"apc_list":null,"apc_paid":null,"fwci":3.7437,"has_fulltext":false,"cited_by_count":33,"citation_normalized_percentile":{"value":0.93214381,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"60","issue":"3","first_page":"673","last_page":"703"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/high-frequency-trading","display_name":"High-frequency trading","score":0.7259264588356018},{"id":"https://openalex.org/keywords/algorithmic-trading","display_name":"Algorithmic trading","score":0.6049448847770691},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.5966206789016724},{"id":"https://openalex.org/keywords/limit","display_name":"Limit (mathematics)","score":0.5771388411521912},{"id":"https://openalex.org/keywords/pairs-trade","display_name":"Pairs trade","score":0.5644234418869019},{"id":"https://openalex.org/keywords/term","display_name":"Term (time)","score":0.5545008182525635},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.5408225059509277},{"id":"https://openalex.org/keywords/profit","display_name":"Profit (economics)","score":0.5400754809379578},{"id":"https://openalex.org/keywords/cluster-analysis","display_name":"Cluster analysis","score":0.5346614122390747},{"id":"https://openalex.org/keywords/order-book","display_name":"Order book","score":0.52486652135849},{"id":"https://openalex.org/keywords/process","display_name":"Process (computing)","score":0.4569317698478699},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4542423486709595},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.438200980424881},{"id":"https://openalex.org/keywords/control","display_name":"Control (management)","score":0.41179537773132324},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.35924649238586426},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.35494011640548706},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.33417555689811707},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.2652789056301117},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.2038751244544983},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.186420738697052},{"id":"https://openalex.org/keywords/alternative-trading-system","display_name":"Alternative trading system","score":0.18005982041358948},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.1273929476737976},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.10616999864578247}],"concepts":[{"id":"https://openalex.org/C24683644","wikidata":"https://www.wikidata.org/wiki/Q138372","display_name":"High-frequency trading","level":3,"score":0.7259264588356018},{"id":"https://openalex.org/C78508483","wikidata":"https://www.wikidata.org/wiki/Q139445","display_name":"Algorithmic trading","level":2,"score":0.6049448847770691},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.5966206789016724},{"id":"https://openalex.org/C151201525","wikidata":"https://www.wikidata.org/wiki/Q177239","display_name":"Limit (mathematics)","level":2,"score":0.5771388411521912},{"id":"https://openalex.org/C158876240","wikidata":"https://www.wikidata.org/wiki/Q17105131","display_name":"Pairs trade","level":4,"score":0.5644234418869019},{"id":"https://openalex.org/C61797465","wikidata":"https://www.wikidata.org/wiki/Q1188986","display_name":"Term (time)","level":2,"score":0.5545008182525635},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.5408225059509277},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.5400754809379578},{"id":"https://openalex.org/C73555534","wikidata":"https://www.wikidata.org/wiki/Q622825","display_name":"Cluster analysis","level":2,"score":0.5346614122390747},{"id":"https://openalex.org/C2779309563","wikidata":"https://www.wikidata.org/wiki/Q649206","display_name":"Order book","level":3,"score":0.52486652135849},{"id":"https://openalex.org/C98045186","wikidata":"https://www.wikidata.org/wiki/Q205663","display_name":"Process (computing)","level":2,"score":0.4569317698478699},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4542423486709595},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.438200980424881},{"id":"https://openalex.org/C2775924081","wikidata":"https://www.wikidata.org/wiki/Q55608371","display_name":"Control (management)","level":2,"score":0.41179537773132324},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.35924649238586426},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.35494011640548706},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.33417555689811707},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.2652789056301117},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2038751244544983},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.186420738697052},{"id":"https://openalex.org/C172428447","wikidata":"https://www.wikidata.org/wiki/Q438711","display_name":"Alternative trading system","level":3,"score":0.18005982041358948},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.1273929476737976},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.10616999864578247},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/18m1176968","is_oa":false,"landing_page_url":"https://doi.org/10.1137/18m1176968","pdf_url":null,"source":{"id":"https://openalex.org/S160107561","display_name":"SIAM Review","issn_l":"0036-1445","issn":["0036-1445","1095-7200"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Review","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Partnerships for the goals","score":0.5199999809265137,"id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[{"id":"https://openalex.org/F4320320283","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10"},{"id":"https://openalex.org/F4320320286","display_name":"University College London","ror":"https://ror.org/02jx3x895"},{"id":"https://openalex.org/F4320323770","display_name":"Universidad Carlos III de Madrid","ror":"https://ror.org/03ths8210"},{"id":"https://openalex.org/F4320337380","display_name":"Division of Mathematical Sciences","ror":"https://ror.org/051fftw81"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":30,"referenced_works":["https://openalex.org/W1915524904","https://openalex.org/W1921068018","https://openalex.org/W1976592774","https://openalex.org/W1983321045","https://openalex.org/W2024680294","https://openalex.org/W2025268472","https://openalex.org/W2033096392","https://openalex.org/W2038686546","https://openalex.org/W2040582618","https://openalex.org/W2085366878","https://openalex.org/W2092249569","https://openalex.org/W2115451042","https://openalex.org/W2120949767","https://openalex.org/W2162288466","https://openalex.org/W2517735824","https://openalex.org/W2736022335","https://openalex.org/W3122773111","https://openalex.org/W3122777334","https://openalex.org/W3122964770","https://openalex.org/W3123296813","https://openalex.org/W3123383822","https://openalex.org/W3123545552","https://openalex.org/W3124439958","https://openalex.org/W3124706086","https://openalex.org/W3125047413","https://openalex.org/W3125653313","https://openalex.org/W3125789262","https://openalex.org/W3125796404","https://openalex.org/W3125906678","https://openalex.org/W3126099958"],"related_works":["https://openalex.org/W2392556764","https://openalex.org/W1552949382","https://openalex.org/W4226227859","https://openalex.org/W2947561447","https://openalex.org/W2461261851","https://openalex.org/W2149348000","https://openalex.org/W2248263857","https://openalex.org/W2292370562","https://openalex.org/W1780554743","https://openalex.org/W3125310323"],"abstract_inverted_index":{"We":[0,83,100],"develop":[1],"a":[2,29],"high":[3],"frequency":[4],"(HF)":[5],"trading":[6],"strategy":[7],"where":[8],"the":[9,46,49,58,78,81,86,93,97,119],"HF":[10,103],"trader":[11],"uses":[12],"her":[13],"superior":[14],"speed":[15],"to":[16,20,135],"process":[17],"information":[18],"and":[19,24,42,45,68,73,129],"post":[21],"limit":[22,50],"sell":[23,43],"buy":[25,41],"orders.":[26],"By":[27],"introducing":[28],"multifactor":[30],"mutually":[31],"exciting":[32],"process,":[33],"we":[34],"allow":[35],"for":[36,57],"feedback":[37],"effects":[38],"in":[39,77,112],"market":[40,61,89,120],"orders":[44,62,90],"shape":[47,79],"of":[48,60,71,80,96,110,118],"order":[51],"book":[52],"(LOB).":[53],"Our":[54],"model":[55,85],"accounts":[56],"arrival":[59],"that":[63,88,102],"influence":[64],"activity,":[65],"trigger":[66],"one-sided":[67],"two-sided":[69],"clustering":[70],"trades,":[72],"induce":[74],"temporary":[75],"changes":[76],"LOB.":[82],"also":[84],"impact":[87],"have":[91],"on":[92],"short-term":[94],"drift":[95],"midprice":[98],"(short-term-alpha).":[99],"show":[101],"traders":[104,128],"who":[105],"do":[106],"not":[107,133],"include":[108],"predictors":[109],"short-term-alpha":[111],"their":[113],"strategies":[114],"are":[115,123,132],"driven":[116],"out":[117],"because":[121,130],"they":[122,131],"adversely":[124],"selected":[125],"by":[126],"better-informed":[127],"able":[134],"profit":[136],"from":[137],"directional":[138],"strategies.":[139]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":7},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":5},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":5},{"year":2015,"cited_by_count":1}],"updated_date":"2026-04-03T22:45:19.894376","created_date":"2025-10-10T00:00:00"}
