Dynamic trading with Markov liquidity switching
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Publication:6165331
DOI10.1016/J.AUTOMATICA.2023.111156zbMATH Open1520.91373OpenAlexW4382864587MaRDI QIDQ6165331FDOQ6165331
Authors: Guiyuan Ma, Chi Chung Siu, Sheung Chi Phillip Yam, Zeyu Zhou 
Publication date: 31 July 2023
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2023.111156
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Markovian jump systemMarkov switchingdynamic tradingprice distortionsmatrix Riccati differential systemtemporary and permanent price impacts
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