Incorporating order-flow into optimal execution
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Cites work
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Cited in
(61)- Optimal trading with signals and stochastic price impact
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- Double deep Q-learning for optimal execution
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- A class of optimal liquidation problem with a nonlinear temporary market impact
- Optimal trade execution for Gaussian signals with power-law resilience
- Optimal and equilibrium execution strategies with generalized price impact
- Extensions of the deep Galerkin method
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