An optimal execution problem in the volume-dependent Almgren-Chriss model (Q4586459)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: An optimal execution problem in the volume-dependent Almgren-Chriss model |
scientific article; zbMATH DE number 6935961
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
13 September 2018
0 references
optimal execution problem
0 references
market trading volume
0 references
volume-weighted average price (VWAP)
0 references
market impact
0 references
0.85125333070755
0 references
0.8493629693984985
0 references
0.8465434312820435
0 references
0.8435565829277039
0 references
0.8388599753379822
0 references
