Optimal pair-trade execution with generalized cross-impact (Q2172552)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal pair-trade execution with generalized cross-impact |
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Optimal pair-trade execution with generalized cross-impact (English)
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16 September 2022
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pair-trade execution
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cross-impact
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Markovian exogenous orders
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expected utility maximization
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Markov decision process
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