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  • Search: subject:"Optimal execution"
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Year of publication
Subject
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Theorie 37 Theory 37 Securities trading 30 Wertpapierhandel 30 optimal execution 27 Optimal execution 26 Mathematical programming 22 Mathematische Optimierung 22 Börsenkurs 21 Share price 21 Stochastic process 21 Stochastischer Prozess 21 Portfolio selection 19 Portfolio-Management 19 Electronic trading 16 Elektronisches Handelssystem 16 Market microstructure 13 Marktmikrostruktur 13 Bid-ask spread 9 Geld-Brief-Spanne 9 market impact 9 Dynamic programming 8 Dynamische Optimierung 8 Führungskräfte 8 Managers 8 Optimal Execution 7 algorithmic trading 7 stochastic optimal control 7 Liquidity 6 Search theory 6 Suchtheorie 6 Algorithm 5 Algorithmus 5 Control theory 5 Kontrolltheorie 5 Learning process 5 Lernprozess 5 Liquidität 5 Market impact 5 Option pricing theory 5
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Online availability
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Undetermined 46 Free 18 CC license 1
Type of publication
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Article 62 Book / Working Paper 10
Type of publication (narrower categories)
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Article in journal 54 Aufsatz in Zeitschrift 54 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 63 Undetermined 9
Author
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Guéant, Olivier 7 Dammann, Felix 4 Ferrari, Giorgio 4 Pu, Jiang 4 Moallemi, Ciamac C. 3 Ohnishi, Masamitsu 3 Schnaubelt, Matthias 3 Alfonsi, Aurélien 2 Benazzoli, Chiara 2 Blanc, Pierre 2 Brigo, Damiano 2 Di Persio, Luca 2 Fu, Hao 2 Healy, Brian 2 Jaimungal, Sebastian 2 Kato, Takashi 2 Khorrami, Farshad 2 Kuno, Seiya 2 Lehalle, Charles-Albert 2 Løkka, Arne 2 Marzo, Massimiliano 2 Neuman, Eyal 2 Papanicolaou, Andrew 2 Ritelli, Daniele 2 Shimoshimizu, Makoto 2 Zagaglia, Paolo 2 ALY, SIDI MOHAMED OULD 1 Ahuja, Saran 1 Aly, Sidi Mohamed Ould 1 Arroyo, Álvaro 1 Barger, Weston 1 Bayraktar, Erhan 1 Bellani, Claudio 1 Bismuth, Alexis 1 Bulthuis, Brian 1 Carmona, René 1 Cartea, Álvaro 1 Chen, Nan 1 Chen, Tao 1 Cheng, Xue 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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Applied mathematical finance 7 International journal of theoretical and applied finance 6 Market microstructure and liquidity 6 Quantitative finance 6 International journal of financial engineering 4 Finance and stochastics 3 Journal of mathematical finance 3 Finance and Stochastics 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 Journal of economic dynamics & control 2 Mathematical finance : an international journal of mathematics, statistics and financial theory 2 Operations research 2 Applied Mathematical Finance 1 Center for Mathematical Economics Working Papers 1 Cogent Economics & Finance 1 Cogent economics & finance 1 Computational Optimization and Applications 1 Dynamic games and applications : DGA 1 Economics Bulletin 1 European journal of operational research : EJOR 1 FAU Discussion Papers in Economics 1 FAU discussion papers in economics 1 Finance research letters 1 IMES Discussion Paper Series 1 Journal of financial markets 1 Journal of risk 1 Journal of the Operational Research Society 1 MPRA Paper 1 Mathematics and financial economics 1 Quaderni - working paper DSE / Alma Mater Studiorum - Università di Bologna, Department of Economics 1 Risk and decision analysis 1 The journal of computational finance 1 The journal of computational finance : JFC 1 Theoretical and applied economics : GAER review 1 Top : an official journal of the Spanish Society of Statistics and Operations Research 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) 58 RePEc 10 EconStor 4
Showing 11 - 20 of 72
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Transient impact from the Nash equilibrium of a permanent market impact game
Cordoni, Francesco; Lillo, Fabrizio - In: Dynamic games and applications : DGA 14 (2024) 2, pp. 333-361
Persistent link: https://www.econbiz.de/10014556559
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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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An optimal control strategy for execution of large stock orders using long short-term memory networks
Papanicolaou, Andrew; Fu, Hao; Krishnamurthy, Prashanth; … - In: The journal of computational finance 26 (2023) 4, pp. 37-65
Persistent link: https://www.econbiz.de/10014342063
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A discrete-time optimal execution problem with market prices subject to random environments
Jasso-Fuentes, Héctor; Pacheco, Carlos Gabriel; … - In: Top : an official journal of the Spanish Society of … 31 (2023) 3, pp. 562-583
Persistent link: https://www.econbiz.de/10014384720
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Optimal execution with liquidity risk in a diffusive order book market
Lee, Hyoeun; Lee, Kiseop - In: International journal of financial engineering 10 (2023) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10014444510
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An optimal control strategy for execution of large stock orders using long short-term memory networks
Papanicolaou, Andrew; Fu, Hao; Krishnamurthy, Prasanth; … - In: The journal of computational finance : JFC 26 (2023) 4, pp. 37-65
Persistent link: https://www.econbiz.de/10014486884
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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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On regularized optimal execution problems and their singular limits
Souza, Max O.; Thamsten, Y. - In: Applied mathematical finance 29 (2022) 2, pp. 79-109
Persistent link: https://www.econbiz.de/10013554788
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Solvability of differential riccati equations and applications to algorithmic trading with signals
Drissi, Fayçal - In: Applied mathematical finance 29 (2022) 6, pp. 457-493
Persistent link: https://www.econbiz.de/10014390281
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