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Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics - MaRDI portal

Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics (Q5071495)

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scientific article; zbMATH DE number 7511194
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English
Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics
scientific article; zbMATH DE number 7511194

    Statements

    title
    Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics (English)
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    author
    Philippe Bergault
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    Fayçal Drissi
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    Olivier Guéant
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    publication date
    21 April 2022
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    zbMATH Keywords
    optimal execution
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    statistical arbitrage
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    stochastic optimal control
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    Riccati equations
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    cites work
    Q3534743
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    Q5263525
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    Q2787919
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    Q4039796
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    Identifiers

    DOI
    10.1137/21M1407756
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    Mathematics Subject Classification ID
    49J55
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    49J15
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    49J20
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    93E20
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    zbMATH DE Number
    7511194
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    arXiv ID
    2103.13773
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    OpenAlex ID
    W3135974852
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