Optimal trading of algorithmic orders in a liquidity fragmented market place

DOI10.1007/s10479-015-1815-7zbMath1318.90066OpenAlexW2029718075MaRDI QIDQ492830

Nataša Krejić, Miles Kumaresan

Publication date: 21 August 2015

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-015-1815-7

zbMATH Keywords

nonlinear programmingprice impactalgorithmic tradingfill probabilitymultiple trading venuesoptimal execution strategy

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Nonlinear programming (90C30) Case-oriented studies in operations research (90B90)

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