Dynamic liquidation under market impact

DOI10.1080/14697681003785934zbMath1232.91726OpenAlexW2088967736MaRDI QIDQ2994855

Thangaraj Draviam, Yuying Li, Thomas F. Coleman

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697681003785934

zbMATH Keywords

stochastic programmingtransaction coststrading costsliquidity costs

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

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Almost periodic solutions for an impulsive delay model of price fluctuations in commodity markets ⋮ Optimal trading of algorithmic orders in a liquidity fragmented market place

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