An optimal execution problem in the volume-dependent Almgren–Chriss model (Q4586459)
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scientific article; zbMATH DE number 6935961
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An optimal execution problem in the volume-dependent Almgren–Chriss model |
scientific article; zbMATH DE number 6935961 |
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An optimal execution problem in the volume-dependent Almgren–Chriss model (English)
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13 September 2018
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optimal execution problem
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market trading volume
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volume-weighted average price (VWAP)
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market impact
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