Robust Optimization of Order Execution

DOI10.1109/TSP.2014.2386288MaRDI QIDQ4579738zbMATH OpenFDO

Authors

Publication date 22 August 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TSP.2014.2386288

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Applications of mathematical programming (90C90) Financial applications of other theories (91G80)

Cited in

(2)

• Optimal Order Scheduling for Deterministic Liquidity Patterns
• A model for optimal execution of atomic orders

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