SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS (Q2953306)

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SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS
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    title
    SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS (English)
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    author
    M. Alessandra Crisafi
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    Andrea Macrina
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    publication date
    4 January 2017
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    Mathematics Subject Classification ID
    91G10
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    93E20
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    60G51
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    49L25
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    zbMATH DE Number
    6670222
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    zbMATH Keywords
    stochastic control
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    optimal trading strategies
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    Hamilton-Jacobi-Bellman equation
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    viscosity solutions
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    limit order book
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    market impact
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    dark pools
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