Optimal execution with regime-switching market resilience
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Publication:1734569
DOI10.1016/j.jedc.2019.01.006zbMath1411.91648OpenAlexW2914642177WikidataQ128421954 ScholiaQ128421954MaRDI QIDQ1734569
Chi Chung Siu, Song-Ping Zhu, Ivan Guo, Robert J. Elliott
Publication date: 27 March 2019
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://unisa.alma.exlibrisgroup.com/view/delivery/61USOUTHAUS_INST/12177287050001831
Markov chainslimit order bookoptimal execution problempermanent price impactstochastic market resiliencetemporary price impact
Related Items (4)
Optimal Trading with Signals and Stochastic Price Impact ⋮ Dynamic trading with Markov liquidity switching ⋮ A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy ⋮ Optimal portfolio execution problem with stochastic price impact
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