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OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL - MaRDI portal

OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL (Q5854316)

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scientific article; zbMATH DE number 7323552
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English
OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL
scientific article; zbMATH DE number 7323552

    Statements

    title
    OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL (English)
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    author
    Arne Løkka
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    Junwei Xu
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    publication date
    16 March 2021
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    zbMATH Keywords
    Lévy processes
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    Almgren-Chriss model
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    algorithmic trading
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    optimal liquidation
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    optimal execution
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    constant absolute risk aversion
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    market impact
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    optimal control
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    Hamilton-Jacobi-Bellman equation
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    60G51
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    93E20
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    zbMATH DE Number
    7323552
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    arXiv ID
    2002.03376
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    OpenAlex ID
    W3107810529
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