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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