OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT
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Publication:4631694
DOI10.1142/S0219024918500590zbMath1411.91477arXiv1804.04170OpenAlexW2963091401WikidataQ129035216 ScholiaQ129035216MaRDI QIDQ4631694
Publication date: 18 April 2019
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1804.04170
asymptoticsstochastic controlprice impactoptimal executionalgorithmic tradingHamilton-Jacobi-Bellmancoefficient expansion
Numerical methods (including Monte Carlo methods) (91G60) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Portfolio theory (91G10)
Related Items (7)
LATENCY AND LIQUIDITY RISK ⋮ Optimal Trading with Signals and Stochastic Price Impact ⋮ Optimal portfolio execution problem with stochastic price impact ⋮ The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets ⋮ Optimal execution with stochastic delay ⋮ On Regularized Optimal Execution Problems and Their Singular Limits ⋮ Optimal Execution: A Review
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