DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS
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Publication:5157841
DOI10.1142/S0219024921500254zbMath1471.91537OpenAlexW3187367465MaRDI QIDQ5157841
Makoto Shimoshimizu, Masaaki Fukasawa, Masamitsu Ohnishi
Publication date: 20 October 2021
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024921500254
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Optimal pair-trade execution with generalized cross-impact ⋮ A discrete-time optimal execution problem with market prices subject to random environments
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