OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS (Q3100751)

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OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
scientific article

    Statements

    title
    OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS (English)
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    author
    Erhan Bayraktar
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    Michael Ludkovski
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    publication date
    21 November 2011
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    zbMATH Keywords
    optimal order execution
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    liquidity modeling
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    dark pools
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    Markov-modulated Poisson process
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    Identifiers

    Mathematics Subject Classification ID
    91G80
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    91G10
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    60K10
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    zbMATH DE Number
    5975638
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