Optimal algorithms for trading large positions (Q445966): Difference between revisions
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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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 / OpenAlex ID: W2012709667 / 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
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal algorithms for trading large positions |
scientific article |
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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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