Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters (Q4958393)
From MaRDI portal
scientific article; zbMATH DE number 7392179
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters |
scientific article; zbMATH DE number 7392179 |
Statements
Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters (English)
0 references
8 September 2021
0 references
optimal trade execution
0 references
limit order book
0 references
stochastic order book depth
0 references
stochastic resilience
0 references
discrete-time stochastic optimal control
0 references
long-time horizon limit
0 references
profitable round trip
0 references
premature closure
0 references
