Optimal algorithms for trading large positions
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Publication:445966
DOI10.1016/j.automatica.2012.04.011zbMath1246.93127MaRDI QIDQ445966
Publication date: 27 August 2012
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2012.04.011
algorithmic trading; discrete-time stochastic optimal control; selling rules; volume-weighted average price (VWAP)
93E20: Optimal stochastic control
Cites Work