Optimal trade execution in order books with stochastic liquidity (Q5377182)
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scientific article; zbMATH DE number 7058331
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal trade execution in order books with stochastic liquidity |
scientific article; zbMATH DE number 7058331 |
Statements
Optimal trade execution in order books with stochastic liquidity (English)
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23 May 2019
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limit order book
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market impact model
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optimal order execution
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profitable round trip trading strategies
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resilience
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stochastic order book depth
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time-varying liquidity
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