Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty
Brian Bulthuis, Julio Concha, Tim Leung and Brian Ward
| Year of publication: |
June-September 2017
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| Authors: | Bulthuis, Brian ; Concha, Julio ; Leung, Tim ; Ward, Brian |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 4.2017, 2/3, p. 1-29
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| Subject: | Algorithmic trading | price impact | optimal execution | HJB equation | Wertpapierhandel | Securities trading | Elektronisches Handelssystem | Electronic trading | Theorie | Theory | Führungskräfte | Managers |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786317500207 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011777847