DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS (Q5157841)
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scientific article; zbMATH DE number 7411934
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS |
scientific article; zbMATH DE number 7411934 |
Statements
DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS (English)
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20 October 2021
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price impact
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Markovian exogenous orders
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algorithmic trading
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optimal execution
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statistical arbitrage
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