Research
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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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0.3%0.5%0.8%0.1% · Dec 202519922001200920172026
3 results for “volume-targeting”
Optimal Signal Extraction from Order Flow: A Matched Filter Perspective on Normalization and Market Microstructureq-fin.CP

Matched filters reveal optimal normalization methods for different market participants.

problem Optimizing signal extraction from order flow for market microstructure analysis.
method General matched filter principle applied to normalization strategies.
result Optimal normalization methods (e.g., SMCS^{MC} and STVS^{TV}) differ based on trader types.
matched filterorder flowmarket microstructureinstitutional investorsvolume-targeting
2025-12-21abs ↗pdf ↗
Optimal Trade Execution with Uncertain Volume Targetq-fin.TR

In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty. Yet there exist situations, such as in the power market, in which the volume to be traded can only be estimated and…

2018-10-28abs ↗pdf ↗