Optimal liquidation of child limit orders
S. C. P. Yam, W. Zhou
| Year of publication: |
May 2017
|
|---|---|
| Authors: | Yam, Sheung Chi Phillip ; Zhou, W. |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 42.2017, 2, p. 517-545
|
| Subject: | optimal order placement | optimal multiple stopping | momentum indicator | mean reversion | Theorie | Theory | Wertpapierhandel | Securities trading | Mean Reversion | Mean reversion | Mathematische Optimierung | Mathematical programming | Börsenkurs | Share price | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2016.0816 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011684536