Trading Foreign Exchange Triplets (Q5123451)

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scientific article; zbMATH DE number 7252359
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English
Trading Foreign Exchange Triplets
scientific article; zbMATH DE number 7252359

    Statements

    title
    Trading Foreign Exchange Triplets (English)
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    author
    Álvaro Cartea
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    Sebastian Jaimungal
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    Tianyi Jia
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    publication date
    28 September 2020
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    zbMATH Keywords
    foreign exchange
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    currency pairs
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    optimal liquidation
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    execution
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    inventory aversion
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    ambiguity aversion
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    Identifiers

    DOI
    10.1137/18M1172089
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    Mathematics Subject Classification ID
    91B64
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    90C39
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    62P20
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    zbMATH DE Number
    7252359
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    arXiv ID
    2004.12011
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