Search Results - subject:"Optimal execution"

Cross-sectional variation of intraday liquidity, cross-impact, and their effect on portfolio execution

Min, Seungki; Maglaras, Costis; Moallemi, Ciamac C. - In: Operations research 70 (2022) 2, pp. 830-846

Persistent link: https://www.econbiz.de/10013365796

A reinforcement learning approach to optimal execution

Moallemi, Ciamac C.; Wang, Muye - In: Quantitative finance 22 (2022) 6, pp. 1051-1069

Persistent link: https://www.econbiz.de/10013367884

Optimal execution with identity optionality

Carmona, René; Zeng, Claire - In: Applied mathematical finance 29 (2022) 4, pp. 261-287

Persistent link: https://www.econbiz.de/10014291946

Deep reinforcement learning for the optimal placement of cryptocurrency limit orders

Schnaubelt, Matthias - In: European journal of operational research : EJOR 296 (2022) 3, pp. 993-1006

Persistent link: https://www.econbiz.de/10013256900

A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy

Fonseca, José da; Malevergne, Yannick - In: Journal of economic dynamics & control 128 (2021), pp. 1-34

Persistent link: https://www.econbiz.de/10012628258

Discrete-time optimal execution under a generalized price impact model with Markovian exogenous orders

Fukasawa, Masaaki; Ohnishi, Masamitsu; Shimoshimizu, Makoto - In: International journal of theoretical and applied finance 24 (2021) 5, pp. 1-43

Persistent link: https://www.econbiz.de/10012662027

Optimal trading : the importance of being adaptive

Bellani, Claudio; Brigo, Damiano; Done, Alex; Neuman, Eyal - In: International journal of financial engineering 8 (2021) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10012815097

Double Deep Q-Learning for optimal execution

Ning, Brian; Lin, Franco Ho Ting; Jaimungal, Sebastian - In: Applied mathematical finance 28 (2021) 4, pp. 361-380

Persistent link: https://www.econbiz.de/10013411703

Optimal execution strategy in liquidity framework

Benazzoli, Chiara; Di Persio, Luca - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-14

A trader wishes to execute a given number of shares of an illiquid asset. Since the asset price also depends on the trading behaviour, the trader main aim is to find the execution strategy that minimizes the related expected costs. We solve this problem in a discrete time framework, by modeling...

Persistent link: https://www.econbiz.de/10011988791

Optimal execution strategy in liquidity framework

Benazzoli, Chiara; Di Persio, Luca - In: Cogent economics & finance 5 (2017) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10011886557