Discrete-time optimal execution under a generalized price impact model with Markovian exogenous orders
Masaaki Fukasawa, Masamitsu Ohnishi, Makoto Shimoshimizu
| Year of publication: |
2021
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|---|---|
| Authors: | Fukasawa, Masaaki ; Ohnishi, Masamitsu ; Shimoshimizu, Makoto |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 5, p. 1-43
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| Subject: | Price impact | Markovian exogenous orders | algorithmic trading | optimal execution | statistical arbitrage | Theorie | Theory | Markov-Kette | Markov chain | Wertpapierhandel | Securities trading | Börsenkurs | Share price | Elektronisches Handelssystem | Electronic trading | Arbitrage | Mathematische Optimierung | Mathematical programming | Marktmikrostruktur | Market microstructure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024921500254 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012662027