Generalized optimal liquidation problems across multiple trading venues (Q2165772)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Generalized optimal liquidation problems across multiple trading venues |
scientific article |
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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