Optimal liquidation under stochastic price impact
Weston Barger and Matthew Lorig
| Year of publication: |
2019
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|---|---|
| Authors: | Barger, Weston ; Lorig, Matthew |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 2, p. 1-28
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| Subject: | Optimal execution | price impact | algorithmic trading | stochastic control | Hamilton-Jacobi-Bellman | asymptotics | coefficient expansion | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Wertpapierhandel | Securities trading | Mathematische Optimierung | Mathematical programming | Elektronisches Handelssystem | Electronic trading | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Algorithmus | Algorithm |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500590 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012012935