Explicit solution for constrained optimal execution problem with general correlated market depth

DOI10.1007/s40305-018-0197-3zbMath1413.90302OpenAlexW2790175349WikidataQ130191026 ScholiaQ130191026MaRDI QIDQ1655928

Jian-Jun Gao, Wei-Ping Wu

Publication date: 10 August 2018

Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40305-018-0197-3

zbMATH Keywords

stochastic dynamic programminglimit order bookoptimal execution problemrandom market depth

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39)

Cites Work

• More statistical properties of order books and price impact
• Limit order books
• A Stochastic Model for Order Book Dynamics
• Order book approach to price impact
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
• Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact
• Optimal execution strategies in limit order books with general shape functions

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