Optimal trading of algorithmic orders in a liquidity fragmented market place (Q492830)
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scientific article; zbMATH DE number 6474570
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| English | Optimal trading of algorithmic orders in a liquidity fragmented market place |
scientific article; zbMATH DE number 6474570 |
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Optimal trading of algorithmic orders in a liquidity fragmented market place (English)
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21 August 2015
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nonlinear programming
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optimal execution strategy
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multiple trading venues
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algorithmic trading
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price impact
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fill probability
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0.8158802390098572
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0.7864424586296082
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0.7757379412651062
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0.7741436958312988
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0.7718551158905029
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