Periodic strategies in optimal execution with multiplicative price impact (Q5204850)
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scientific article; zbMATH DE number 7140541
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Periodic strategies in optimal execution with multiplicative price impact |
scientific article; zbMATH DE number 7140541 |
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Periodic strategies in optimal execution with multiplicative price impact (English)
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5 December 2019
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optimal execution problem
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multiplicative price impact
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arrival times of Poisson process
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periodic barrier strategies
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