Optimal algorithms for trading large positions (Q445966): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E25
@@ Property / Mathematics Subject Classification ID: 93E25 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6072700
@@ Property / zbMATH DE Number: 6072700 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+algorithmic trading
@@ Property / zbMATH Keywords: algorithmic trading / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+discrete-time stochastic optimal control
@@ Property / zbMATH Keywords: discrete-time stochastic optimal control / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+volume-weighted average price (VWAP)
@@ Property / zbMATH Keywords: volume-weighted average price (VWAP) / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+selling rules
@@ Property / zbMATH Keywords: selling rules / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.automatica.2012.04.011
+Normal rank
@@ Property / OpenAlex ID @@
+W2012709667
@@ Property / OpenAlex ID: W2012709667 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal execution with nonlinear impact functions and trading-enhanced risk
+Normal rank
@@ Property / cites work @@
+Q3160507
@@ Property / cites work: Q3160507 / rank @@
+Normal rank
@@ Property / cites work @@
+LIQUIDATION OF A LARGE BLOCK OF STOCK WITH REGIME SWITCHING
+Normal rank
@@ Property / cites work @@
+Optimal stock liquidation in a regime switching model with finite time horizon
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:445966