Incorporating signals into optimal trading (Q1739054)

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Incorporating signals into optimal trading
scientific article

    Statements

    title
    Incorporating signals into optimal trading (English)
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    author
    Charles-Albert Lehalle
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    Eyal Neuman
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    publication date
    24 April 2019
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    zbMATH Keywords
    optimal portfolio liquidation
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    market impact
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    optimal stochastic control
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    predictive signals
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    cites work
    Q5263525
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    Q2787919
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    93E20
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    60H30
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    zbMATH DE Number
    7047631
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    OpenAlex ID
    W2605897044
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    arXiv ID
    1704.00847
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