naa a22 4500 510808433 CHVBK 20180411083429.0 cr unu---uuuuu 180411e20130601xx s 000 0 eng 10.1007/s11579-013-0096-7 doi (NATIONALLICENCE)springer-10.1007/s11579-013-0096-7 Optimal posting price of limit orders: learning by trading [Elektronische Daten] [Sophie Laruelle, Charles-Albert Lehalle, Gilles Pagès] We model a trader interacting with a continuous market as an iterative algorithm that adjusts limit prices at a given rhythm and propose a procedure to minimize trading costs. We prove the $$a.s.$$ convergence of the algorithm under assumptions on the cost function and give some practical criteria on model parameters to ensure that the conditions to use the algorithm are met (notably, using the co-monotony principle). We illustrate our results with numerical experiments on both simulated and market data. Springer-Verlag Berlin Heidelberg, 2013 Stochastic approximation nationallicence Order book nationallicence Limit order nationallicence Market impact nationallicence Statistical learning nationallicence High-frequency optimal liquidation nationallicence Poisson process nationallicence Co-monotony principle nationallicence Laruelle Sophie Laboratoire de Mathématiques Appliquées aux Systèmes, École Centrale Paris, Grande Voie des Vignes, 92290, Châtenay-Malabry, France aut Lehalle Charles-Albert Crédit Agricole Cheuvreux, CALYON Group, 9 quai Paul Doumer, 92920, Paris La Défense, France aut Pagès Gilles Laboratoire de Probabilités et Modèles Aléatoires, UMR7599, UPMC, case 188, 4, pl. Jussieu, Paris Cedex 5, France aut Mathematics and Financial Economics Springer-Verlag 7/3(2013-06-01), 359-403 1862-9679 7:3<359 2013 7 11579 https://doi.org/10.1007/s11579-013-0096-7 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11579-013-0096-7 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Laruelle Sophie Laboratoire de Mathématiques Appliquées aux Systèmes, École Centrale Paris, Grande Voie des Vignes, 92290, Châtenay-Malabry, France aut NATIONALLICENCE 700 1- Lehalle Charles-Albert Crédit Agricole Cheuvreux, CALYON Group, 9 quai Paul Doumer, 92920, Paris La Défense, France aut NATIONALLICENCE 700 1- Pagès Gilles Laboratoire de Probabilités et Modèles Aléatoires, UMR7599, UPMC, case 188, 4, pl. Jussieu, Paris Cedex 5, France aut NATIONALLICENCE 773 0- Mathematics and Financial Economics Springer-Verlag 7/3(2013-06-01), 359-403 1862-9679 7:3<359 2013 7 11579 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer