Optimal execution with regime-switching market resilience (Q1734569)
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scientific article; zbMATH DE number 7043293
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal execution with regime-switching market resilience |
scientific article; zbMATH DE number 7043293 |
Statements
Optimal execution with regime-switching market resilience (English)
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27 March 2019
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optimal execution problem
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limit order book
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stochastic market resilience
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permanent price impact
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temporary price impact
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Markov chains
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0.8528746962547302
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0.8523461818695068
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0.837661623954773
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0.8334693908691406
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0.8247842788696289
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