Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks (Q4553793)
From MaRDI portal
scientific article; zbMATH DE number 6969765
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks |
scientific article; zbMATH DE number 6969765 |
Statements
Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks (English)
0 references
31 October 2018
0 references
limit order book
0 references
optimal liquidation
0 references
semi-Markov decision process
0 references
queueing theory
0 references
dynamic programming
0 references
0 references
0 references
