Optimal execution with regime-switching market resilience (Q1734569)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal execution with regime-switching market resilience |
scientific article |
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
