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Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks - MaRDI portal

Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks (Q4553793)

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scientific article; zbMATH DE number 6969765
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English
Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks
scientific article; zbMATH DE number 6969765

    Statements

    title
    Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks (English)
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    author
    Antoine Jacquier
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    Hao Liu
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    publication date
    31 October 2018
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    zbMATH Keywords
    limit order book
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    optimal liquidation
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    semi-Markov decision process
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    queueing theory
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    dynamic programming
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    cites work
    Q4945342
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    Limit order books
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    Q4421936
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    Q5291082
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    Identifiers

    DOI
    10.1137/17M1117860
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    Mathematics Subject Classification ID
    91G10
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    60K25
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    90C40
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    90C39
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    zbMATH DE Number
    6969765
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    arXiv ID
    1701.01327
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    OpenAlex ID
    W2569484632
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    Wikidata QID
    Q129490329
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