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Tag: transaction-costs
57 items with this tag.
May 22, 2026
Financial Turbulence Index
regime-switching
equities
forex
transaction-costs
out-of-sample
May 22, 2026
Implementation Shortfall
transaction-costs
optimal-execution
equities
May 22, 2026
Median Filter Smoothing
regime-switching
hidden-markov-model
transaction-costs
out-of-sample
May 22, 2026
Recent Developments 2024-2025
regime-switching
hidden-markov-model
reinforcement-learning
markov-decision-process
backtest
out-of-sample
transaction-costs
overfitting-risk
replication
academic-paper
May 22, 2026
Regime Classification
regime-switching
hidden-markov-model
trading-strategy
out-of-sample
transaction-costs
May 22, 2026
Square-Root Law of Market Impact
transaction-costs
equities
optimal-execution
backtest
May 22, 2026
Steelman — Best Case for Markov Trading Models
regime-switching
hidden-markov-model
markov-chain
reinforcement-learning
profitability-claim
out-of-sample
transaction-costs
academic-paper
replication
May 22, 2026
Cryptocurrency Market
crypto
reinforcement-learning
regime-switching
hidden-markov-model
overfitting-risk
backtest
transaction-costs
trading-strategy
May 22, 2026
DAX
equities
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
May 22, 2026
EUR USD Currency Pair
forex
markov-chain
regime-switching
reinforcement-learning
transaction-costs
May 22, 2026
Futures Markets
commodities
forex
equities
reinforcement-learning
markov-decision-process
backtest
out-of-sample
transaction-costs
May 22, 2026
Nikkei 225
equities
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
May 22, 2026
OMXS30 Index
equities
markov-chain
out-of-sample
transaction-costs
May 22, 2026
S&P 500
equities
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
May 22, 2026
US Equity Market
equities
markov-decision-process
transaction-costs
May 22, 2026
WIG20 Index
equities
markov-chain
overfitting-risk
transaction-costs
backtest
May 22, 2026
Hidden Markov Model Regime Detection
model
markov
trading-research
hidden-markov-model
regime-switching
out-of-sample
transaction-costs
overfitting-risk
equities
academic-paper
May 22, 2026
Markov Regime-Switching Model
model
markov
trading-research
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
overfitting-risk
academic-paper
equities
May 22, 2026
Reinforcement Learning Trading Policy
model
markov
trading-research
reinforcement-learning
markov-decision-process
backtest
out-of-sample
transaction-costs
overfitting-risk
academic-paper
May 22, 2026
Statistical Jump Model
model
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
equities
crypto
academic-paper
May 22, 2026
AQR Capital Management
transaction-costs
equities
regime-switching
live-trading
profitability-claim
May 22, 2026
Citigroup
transaction-costs
optimal-execution
equities
May 22, 2026
Abbade and Reali Costa 2026
academic-paper
transaction-costs
reinforcement-learning
markov-decision-process
backtest
May 22, 2026
Optimal Execution of Portfolio Transactions
academic-paper
optimal-execution
transaction-costs
markov-decision-process
May 22, 2026
Direct Estimation of Equity Market Impact
academic-paper
transaction-costs
optimal-execution
equities
May 22, 2026
Risk-Aware Deep Reinforcement Learning for Crypto and Equity Trading Under Transaction Costs
academic-paper
reinforcement-learning
markov-decision-process
crypto
equities
transaction-costs
out-of-sample
backtest
May 22, 2026
Reinforcement Learning for Systematic FX Trading
academic-paper
reinforcement-learning
trading-strategy
forex
out-of-sample
transaction-costs
replication
May 22, 2026
Markov-switching Asset Allocation: Do Profitable Strategies Exist?
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
profitability-claim
equities
May 22, 2026
Frazzini Israel and Moskowitz 2018
academic-paper
transaction-costs
equities
out-of-sample
profitability-claim
May 22, 2026
Deep Reinforcement Learning for Cryptocurrency Trading: Practical Approach to Address Backtest Overfitting
academic-paper
reinforcement-learning
markov-decision-process
overfitting-risk
crypto
backtest
out-of-sample
transaction-costs
replication
May 22, 2026
Skulls, Financial Turbulence, and Risk Management
academic-paper
regime-switching
transaction-costs
equities
forex
May 22, 2026
Deep Reinforcement Learning for Optimal Trading with Partial Information
academic-paper
reinforcement-learning
regime-switching
markov-decision-process
transaction-costs
equities
May 22, 2026
Performance Functions and Reinforcement Learning for Trading Systems and Portfolios
academic-paper
reinforcement-learning
trading-strategy
out-of-sample
transaction-costs
equities
May 22, 2026
Learning to Trade via Direct Reinforcement
academic-paper
reinforcement-learning
trading-strategy
markov-decision-process
out-of-sample
transaction-costs
equities
forex
May 22, 2026
Learning hidden Markov models with persistent states by penalizing jumps
academic-paper
regime-switching
hidden-markov-model
transaction-costs
replication
May 22, 2026
Patton and Weller 2017
academic-paper
transaction-costs
equities
profitability-claim
May 22, 2026
Reinforcement Learning-Based Cryptocurrency Portfolio Management Using Soft Actor-Critic and Deep Deterministic Policy Gradient Algorithms
academic-paper
reinforcement-learning
markov-decision-process
crypto
backtest
profitability-claim
transaction-costs
May 22, 2026
Revisiting Optimal Execution of Portfolio Transactions: A Dynamic Programming and Reinforcement Learning Approach
academic-paper
markov-decision-process
optimal-execution
reinforcement-learning
transaction-costs
May 22, 2026
Dynamic Asset Allocation with Asset-Specific Regime Forecasts
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
profitability-claim
equities
commodities
May 22, 2026
Downside Risk Reduction Using Regime-Switching Signals: A Statistical Jump Model Approach
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
equities
May 22, 2026
Dynamic Factor Allocation Leveraging Regime-Switching Signals
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
equities
profitability-claim
May 22, 2026
Stop-loss strategies with serial correlation, regime switching, and transaction costs
academic-paper
regime-switching
transaction-costs
backtest
equities
May 22, 2026
Deep Reinforcement Learning for Trading
academic-paper
reinforcement-learning
markov-decision-process
backtest
out-of-sample
transaction-costs
commodities
forex
equities
May 22, 2026
Andrea Frazzini
transaction-costs
academic-paper
equities
May 22, 2026
Neil Chriss
optimal-execution
transaction-costs
May 22, 2026
Robert Almgren
optimal-execution
transaction-costs
markov-decision-process
equities
May 22, 2026
Tobias Moskowitz
transaction-costs
academic-paper
equities
May 22, 2026
Adverse Selection
market-making
transaction-costs
backtest
markov-decision-process
May 22, 2026
Phantom Gains in Backtests
backtest
transaction-costs
overfitting-risk
market-making
out-of-sample
May 22, 2026
Sim-to-Real Gap
reinforcement-learning
live-trading
backtest
markov-decision-process
transaction-costs
May 22, 2026
Transaction Costs and Slippage
transaction-costs
backtest
profitability-claim
regime-switching
out-of-sample
May 22, 2026
Buy-and-Hold Benchmark
markov-chain
backtest
transaction-costs
May 22, 2026
Market Making
market-making
markov-decision-process
reinforcement-learning
transaction-costs
trading-strategy
backtest
out-of-sample
May 22, 2026
Optimal Execution
optimal-execution
transaction-costs
markov-decision-process
trading-strategy
equities
May 22, 2026
Recurrent Reinforcement Learning Trading
reinforcement-learning
trading-strategy
markov-decision-process
out-of-sample
transaction-costs
forex
equities
May 22, 2026
Regime-Based Asset Allocation
trading-strategy
regime-switching
hidden-markov-model
transaction-costs
out-of-sample
equities
May 22, 2026
VWAP and TWAP Execution
optimal-execution
transaction-costs
trading-strategy
equities