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Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact - MaRDI portal

Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact (Q5080132)

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scientific article; zbMATH DE number 7533969
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English
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
scientific article; zbMATH DE number 7533969

    Statements

    title
    Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact (English)
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    author
    Eyal Neuman
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    Moritz Voß
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    publication date
    31 May 2022
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    zbMATH Keywords
    optimal portfolio liquidation
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    price impact
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    optimal stochastic control
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    predictive signal
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    cites work
    Q2807034
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    Q5263525
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    Q4702909
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    Q2787919
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    Q4002114
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    Identifiers

    DOI
    10.1137/20M1375486
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    Mathematics Subject Classification ID
    91G10
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    93E20
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    60H30
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    zbMATH DE Number
    7533969
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    arXiv ID
    2002.09549
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    OpenAlex ID
    W3006879552
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