Generalized optimal liquidation problems across multiple trading venues (Q2165772)
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scientific article; zbMATH DE number 7574116
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| English | Generalized optimal liquidation problems across multiple trading venues |
scientific article; zbMATH DE number 7574116 |
Statements
Generalized optimal liquidation problems across multiple trading venues (English)
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23 August 2022
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dynamic programming (DP)
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Hamilton-Jacobi-Bellman (HJB) equation
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limit order (LO)
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market order (MO)
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multi-scale stochastic volatility model
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quadratic variation
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0.8460806608200073
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0.841192364692688
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0.8343562483787537
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0.8258647918701172
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0.8238887786865234
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