Optimal execution cost for liquidation through a limit order market
Etienne Chevalier, Vathana Ly Vath, Simone Scotti and Alexandre Roch
| Year of publication: |
February 2016
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|---|---|
| Authors: | Chevalier, Etienne ; Ly Vath, Vathana ; Scotti, Simone ; Roch, Alexandre |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 1, p. 1-26
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| Subject: | Liquidity risk | limit-order books | impulse control | viscosity solutions | variational inequalities | Liquidität | Liquidity | Theorie | Theory | Wertpapierhandel | Securities trading | Geld-Brief-Spanne | Bid-ask spread | Transaktionskosten | Transaction costs | Marktliquidität | Market liquidity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500047 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011453884