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Optimal Trading with Online Parameter Revisions

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Academic year: 2021

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Figure 1: Evolution of β in terms of (X 3 , X 4 ) at time 0s (top), 15s (left) and 25s (right), for (m υ , σ υ ) = (5.10 −2 , 5.10 −4 ).
Figure 2: Evolution of β (top left), price before (circles) and after (triangles) the impact (top right), m υ (bottom left), σ υ (bottom right), with time in second
Figure 3: Evolution of α in terms of (m υ , X 3 ) at time 0s (top), 30s (left) and 55s (right), for σ υ = 5.10 −4 .
Figure 4: Evolution of α (top), σ υ (left), m υ (right) with time. Black crosses and black solid lines: the true value of υ is 5.10 −2
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