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Optimal Execution in a General One-Sided Limit-Order Book - MaRDI portal

Optimal Execution in a General One-Sided Limit-Order Book (Q2996522)

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scientific article
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English
Optimal Execution in a General One-Sided Limit-Order Book
scientific article

    Statements

    title
    Optimal Execution in a General One-Sided Limit-Order Book (English)
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    author
    Silviu Predoiu
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    Gennady Shaikhet
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    Steven E. Shreve
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    publication date
    2 May 2011
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    zbMATH Keywords
    optimal execution
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    limit-order book
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    price impact
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    Identifiers

    DOI
    10.1137/10078534X
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    Mathematics Subject Classification ID
    91G20
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    91G80
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    90C25
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    93E20
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    zbMATH DE Number
    5882827
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