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  • Search: subject:"Optimal execution"
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Year of publication
Subject
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Portfolio selection 5 Portfolio-Management 5 Theorie 5 Theory 5 Mathematical programming 4 Mathematische Optimierung 4 Optimal execution 4 Stochastic process 4 Stochastischer Prozess 4 market impact 4 optimal execution 4 Optimal Execution 3 Securities trading 3 Wertpapierhandel 3 optimal execution strategy 3 Bellman equation 2 Börsenkurs 2 Deep Reinforcement Learning 2 Finance 2 Führungskräfte 2 Incomplete information 2 Learning process 2 Lernprozess 2 Limit Order Markets 2 Liquidity 2 Machine learning 2 Managers 2 Market microstructure 2 Marktmikrostruktur 2 Multiplicative price impact 2 Optimal execution problem 2 Optimal stopping 2 Partial observation 2 Search theory 2 Share price 2 Suchtheorie 2 Unvollkommene Information 2 forward-backward stochastic differential equations 2 liquid / illiquid market 2 multiplicative price impact 2
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Online availability
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Free 18 CC license 1
Type of publication
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Book / Working Paper 10 Article 8
Type of publication (narrower categories)
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Article in journal 5 Aufsatz in Zeitschrift 5 Working Paper 5 Graue Literatur 4 Non-commercial literature 4 Arbeitspapier 3 Article 2 Hochschulschrift 1
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Language
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English 14 Undetermined 4
Author
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Dammann, Felix 4 Ferrari, Giorgio 4 Benazzoli, Chiara 2 Di Persio, Luca 2 Lehalle, Charles-Albert 2 Marzo, Massimiliano 2 Ritelli, Daniele 2 Schnaubelt, Matthias 2 Zagaglia, Paolo 2 Brigo, Damiano 1 Daniele, Ritelli 1 Graceffa, Federico 1 Kruse, Timm 1 Labadie, Mauricio 1 Lauriere, Mathieu 1 Leal, Laura 1 Li, Tangrong 1 Makimoto, Naoki 1 Massmiliano, Marzo 1 Neuman, Eyal 1 Paolo, Zagaglia 1 Sugihara, Yoshihiko 1 Sun, Edward W. 1 Sun, Xuchu 1 Sánchez-Betancourt, Leandro 1 Zhu, Jianchang 1
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Institution
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HAL 1 Institute for Monetary and Economic Studies, Bank of Japan 1 Rimini Centre for Economic Analysis (RCEA) 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Quantitative finance 2 Center for Mathematical Economics Working Papers 1 Cogent Economics & Finance 1 Cogent economics & finance 1 Economics Bulletin 1 FAU Discussion Papers in Economics 1 FAU discussion papers in economics 1 Finance and Stochastics 1 Finance and stochastics 1 Finance research letters 1 IMES Discussion Paper Series 1 MPRA Paper 1 Quaderni - working paper DSE / Alma Mater Studiorum - Università di Bologna, Department of Economics 1 Working Paper Series / Rimini Centre for Economic Analysis (RCEA) 1 Working Papers / HAL 1 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 1
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Source
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ECONIS (ZBW) 9 RePEc 5 EconStor 4
Showing 1 - 10 of 18
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Execution uncertainty of dark pools and portfolio balance
Zhu, Jianchang; Sun, Xuchu; Li, Tangrong - In: Finance research letters 63 (2024), pp. 1-9
Persistent link: https://www.econbiz.de/10014531284
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Optimal execution with multiplicative price impact and incomplete information on the return
Dammann, Felix; Ferrari, Giorgio - In: Finance and Stochastics 27 (2023) 3, pp. 713-768
about the true value of the asset's trend. Its value function and optimal execution rule are expressed in terms of the …
Persistent link: https://www.econbiz.de/10015098877
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Optimal execution with multiplicative price impact and incomplete information on the return
Dammann, Felix; Ferrari, Giorgio - In: Finance and stochastics 27 (2023) 3, pp. 713-768
Persistent link: https://www.econbiz.de/10014328989
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Optimal execution with multiplicative price impact and incomplete information on the return
Dammann, Felix; Ferrari, Giorgio - 2022
's belief about the true value of the asset's trend. The optimal execution rule and the problem's value function are expressed …
Persistent link: https://www.econbiz.de/10014304789
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Optimal dxecution with multiplicative price impact and incomplete information on the return
Dammann, Felix; Ferrari, Giorgio - 2022
's belief about the true value of the asset's trend. The optimal execution rule and the problem's value function are expressed …
Persistent link: https://www.econbiz.de/10012880685
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Learning a functional control for high-frequency finance
Leal, Laura; Lauriere, Mathieu; Lehalle, Charles-Albert - In: Quantitative finance 22 (2022) 11, pp. 1973-1987
Persistent link: https://www.econbiz.de/10013490928
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Price impact on term structure
Brigo, Damiano; Graceffa, Federico; Neuman, Eyal - In: Quantitative finance 22 (2022) 1, pp. 171-195
Persistent link: https://www.econbiz.de/10012872530
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Uncertain execution in order-driven markets
Sánchez-Betancourt, Leandro - 2021
Persistent link: https://www.econbiz.de/10012939003
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Deep reinforcement learning for the optimal placement of cryptocurrency limit orders
Schnaubelt, Matthias - 2020
This paper presents the first large-scale application of deep reinforcement learning to optimize the placement of limit orders at cryptocurrency exchanges. For training and out-of-sample evaluation, we use a virtual limit order exchange to reward agents according to the realized shortfall over a...
Persistent link: https://www.econbiz.de/10012206907
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Deep reinforcement learning for the optimal placement of cryptocurrency limit orders
Schnaubelt, Matthias - 2020
This paper presents the first large-scale application of deep reinforcement learning to optimize the placement of limit orders at cryptocurrency exchanges. For training and out-of-sample evaluation, we use a virtual limit order exchange to reward agents according to the realized shortfall over a...
Persistent link: https://www.econbiz.de/10012204902
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