Optimal algorithms for trading large positions

DOI10.1016/j.automatica.2012.04.011zbMath1246.93127OpenAlexW2012709667MaRDI QIDQ445966

Moustapha Pemy

Publication date: 27 August 2012

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2012.04.011

zbMATH Keywords

algorithmic tradingdiscrete-time stochastic optimal controlselling rulesvolume-weighted average price (VWAP)

Mathematics Subject Classification ID

Cites Work

• Optimal stock liquidation in a regime switching model with finite time horizon
• LIQUIDATION OF A LARGE BLOCK OF STOCK WITH REGIME SWITCHING
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Unnamed Item

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