Optimal execution with regime-switching market resilience
Chi Chung Siu, Ivan Guo, Song-Ping Zhu, Robert J. Elliott
| Year of publication: |
2019
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|---|---|
| Authors: | Siu, Chi Chung ; Guo, Ivan ; Zhu, Song-Ping ; Elliott, Robert J. |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 101.2019, p. 17-40
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| Subject: | Limit order book | Markov chains | Optimal execution problem | Permanent price impact | Stochastic market resilience | Temporary price impact | Börsenkurs | Share price | Markov-Kette | Markov chain | Wertpapierhandel | Securities trading | Theorie | Theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2019.01.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012131017