SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS
DOI10.1142/S0219024916500552zbMath1396.91682arXiv1405.2023MaRDI QIDQ2953306
M. Alessandra Crisafi, Andrea Macrina
Publication date: 4 January 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1405.2023
Hamilton-Jacobi-Bellman equationstochastic controlviscosity solutionsmarket impactlimit order bookoptimal trading strategiesdark pools
Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)
Related Items (2)
Cites Work
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