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Limit order trading with a mean reverting reference price - MaRDI portal

Limit order trading with a mean reverting reference price (Q3119644)

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Limit order trading with a mean reverting reference price
scientific article

    Statements

    title
    Limit order trading with a mean reverting reference price (English)
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    author
    Saran Ahuja
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    Weiluo Ren
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    Tzu-Wei Yang
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    George S. Papanicolaou
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    publication date
    12 March 2019
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    zbMATH Keywords
    limit order trading
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    optimal execution
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    stochastic optimal control
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    mean reverting prices
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    Identifiers

    DOI
    10.3233/RDA-160118
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    zbMATH DE Number
    7034850
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    arXiv ID
    1607.00454
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