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Optimal execution with non-linear transient market impact - MaRDI portal

Optimal execution with non-linear transient market impact (Q4555057)

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scientific article; zbMATH DE number 6981176
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English
Optimal execution with non-linear transient market impact
scientific article; zbMATH DE number 6981176

    Statements

    title
    Optimal execution with non-linear transient market impact (English)
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    author
    Gianbiagio Curato
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    Jim Gatheral
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    Fabrizio Lillo
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    publication date
    19 November 2018
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    zbMATH Keywords
    optimal execution
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    market impact
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    price manipulation
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    sequential quadratic programming
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    liquidity
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    Identifiers

    zbMATH DE Number
    6981176
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    OpenAlex ID
    W2402405276
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    arXiv ID
    1412.4839
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