Optimal liquidation under stochastic price impact (Q4631694)
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scientific article; zbMATH DE number 7045984
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal liquidation under stochastic price impact |
scientific article; zbMATH DE number 7045984 |
Statements
OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT (English)
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18 April 2019
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optimal execution
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price impact
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algorithmic trading
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stochastic control
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Hamilton-Jacobi-Bellman
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asymptotics
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coefficient expansion
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0.8901901841163635
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0.8739030957221985
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0.8691486120223999
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0.8668660521507263
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0.864643394947052
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