An optimal execution problem in the volume-dependent Almgren-Chriss model (Q4586459)
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scientific article; zbMATH DE number 6935961
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | An optimal execution problem in the volume-dependent Almgren-Chriss model |
scientific article; zbMATH DE number 6935961 |
Statements
An optimal execution problem in the volume-dependent Almgren–Chriss model (English)
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13 September 2018
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optimal execution problem
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market trading volume
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volume-weighted average price (VWAP)
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market impact
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0.85125333070755
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0.8493629693984985
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0.8465434312820435
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0.8435565829277039
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0.8388599753379822
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