STOCK LIQUIDATION VIA STOCHASTIC APPROXIMATION USING NASDAQ DAILY AND INTRA‐DAY DATA

DOI10.1111/j.1467-9965.2006.00269.xzbMath1128.91031OpenAlexW2047580188MaRDI QIDQ5472786

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Publication date: 12 June 2006

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00269.x

zbMATH Keywords

stochastic optimizationstochastic approximationstock liquidation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15)

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Cites Work

• Stochastic approximation methods for constrained and unconstrained systems
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• Stochastic approximation and its applications
• Stock Trading: An Optimal Selling Rule
• Budget-Dependent Convergence Rate of Stochastic Approximation
• Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
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