Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach (Q5388695)
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scientific article; zbMATH DE number 6025791
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach |
scientific article; zbMATH DE number 6025791 |
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Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach (English)
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19 April 2012
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asset allocation
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market impact
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stochastic approximation
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stochastic Lagrangian algorithm
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reinforcement principle
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monotone dynamic systems
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