Optimal liquidation in a level-I limit order book for large-tick stocks (Q4553793)
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scientific article; zbMATH DE number 6969765
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| English | Optimal liquidation in a level-I limit order book for large-tick stocks |
scientific article; zbMATH DE number 6969765 |
Statements
Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks (English)
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31 October 2018
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limit order book
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optimal liquidation
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semi-Markov decision process
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queueing theory
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dynamic programming
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0.8613203167915344
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0.854167640209198
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0.8383955359458923
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0.8257025480270386
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0.8239696025848389
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