Optimal Execution with Dynamic Order Flow Imbalance (Q3456840)

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Optimal Execution with Dynamic Order Flow Imbalance
scientific article

    Statements

    title
    Optimal Execution with Dynamic Order Flow Imbalance (English)
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    author
    Kyle Bechler
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    Michael Ludkovski
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    publication date
    9 December 2015
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    zbMATH Keywords
    optimal execution
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    order flow
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    limit order books
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    information footprint
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    Identifiers

    DOI
    10.1137/140992254
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    Mathematics Subject Classification ID
    93E20
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    91G80
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    91B99
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    zbMATH DE Number
    6518536
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    OpenAlex ID
    W1521692736
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    arXiv ID
    1409.2618
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