OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL (Q5854316)
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scientific article; zbMATH DE number 7323552
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL |
scientific article; zbMATH DE number 7323552 |
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OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL (English)
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16 March 2021
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Lévy processes
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Almgren-Chriss model
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algorithmic trading
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optimal liquidation
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optimal execution
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constant absolute risk aversion
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market impact
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optimal control
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Hamilton-Jacobi-Bellman equation
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