Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters (Q4958393)
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scientific article; zbMATH DE number 7392179
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters |
scientific article; zbMATH DE number 7392179 |
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Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters (English)
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8 September 2021
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optimal trade execution
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limit order book
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stochastic order book depth
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stochastic resilience
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discrete-time stochastic optimal control
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long-time horizon limit
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profitable round trip
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premature closure
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