Optimal execution with regime-switching market resilience (Q1734569)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 7043293
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal execution with regime-switching market resilience |
scientific article; zbMATH DE number 7043293 |
Statements
Optimal execution with regime-switching market resilience (English)
0 references
27 March 2019
0 references
optimal execution problem
0 references
limit order book
0 references
stochastic market resilience
0 references
permanent price impact
0 references
temporary price impact
0 references
Markov chains
0 references
0 references
0.8528746962547302
0 references
0.8523461818695068
0 references
0.837661623954773
0 references
0.8334693908691406
0 references
0.8247842788696289
0 references
