Optimal trade execution in an order book model with stochastic liquidity parameters (Q4958393)
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scientific article; zbMATH DE number 7392179
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| English | Optimal trade execution in an order book model with stochastic liquidity parameters |
scientific article; zbMATH DE number 7392179 |
Statements
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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0.9204726219177246
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0.901556134223938
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0.8805972337722778
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0.8747419714927673
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0.8677393198013306
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