Optimal trade execution: A mean quadratic variation approach
Year of publication: |
2012
|
---|---|
Authors: | Forsyth, P.A. ; Kennedy, J.S. ; Tse, S.T. ; Windcliff, H. |
Published in: |
Journal of Economic Dynamics and Control. - Elsevier, ISSN 0165-1889. - Vol. 36.2012, 12, p. 1971-1991
|
Publisher: |
Elsevier |
Subject: | Optimal trading | Mean quadratic variation | HJB equation |
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