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Property / full work available at URL: https://doi.org/10.1016/j.automatica.2012.04.011 / rank
 
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Property / cites work: Optimal execution with nonlinear impact functions and trading-enhanced risk / rank
 
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Property / cites work: Q3160507 / rank
 
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Property / cites work: LIQUIDATION OF A LARGE BLOCK OF STOCK WITH REGIME SWITCHING / rank
 
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Property / cites work: Optimal stock liquidation in a regime switching model with finite time horizon / rank
 
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Latest revision as of 14:12, 5 July 2024

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Optimal algorithms for trading large positions
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    Optimal algorithms for trading large positions (English)
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    27 August 2012
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    algorithmic trading
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    discrete-time stochastic optimal control
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    volume-weighted average price (VWAP)
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    selling rules
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