Optimal liquidation problem in illiquid markets
Amirhossein Sadoghi, Jan Vecer
| Year of publication: |
2022
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| Authors: | Sadoghi, Amirhossein ; Večeř, Jan |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 296.2022, 3 (1.2.), p. 1050-1066
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| Subject: | Finance | Optimal liquidation problem | Illiquid market | Markov-modulated poisson process | Hawkes processes | Theorie | Theory | Liquidität | Liquidity | Marktliquidität | Market liquidity | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Betriebliche Liquidität | Corporate liquidity | Wertpapierhandel | Securities trading | Marktmikrostruktur | Market microstructure | Handelsvolumen der Börse | Trading volume |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2021.05.020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013256904