MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY (Q3191840)

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MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY
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    title
    MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY (English)
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    author
    Sidi Mohamed Ould Aly
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    Changyong Zhang
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    Kaj Nyström
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    publication date
    25 September 2014
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    zbMATH DE Number
    6347656
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    zbMATH Keywords
    high frequency trading
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    market making
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    optimal execution
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    stochastic control
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    Hamilton-Jacobi-Bellman equation
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    cites work
    Q5826088
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