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Optimal pair-trade execution with generalized cross-impact - MaRDI portal

Optimal pair-trade execution with generalized cross-impact (Q2172552)

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Optimal pair-trade execution with generalized cross-impact
scientific article

    Statements

    title
    Optimal pair-trade execution with generalized cross-impact (English)
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    author
    Masamitsu Ohnishi
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    Makoto Shimoshimizu
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    publication date
    16 September 2022
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    zbMATH Keywords
    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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    Identifiers

    zbMATH DE Number
    7585748
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    OpenAlex ID
    W3197522808
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