Optimal execution with stochastic delay

DOI10.1007/s00780-022-00491-wzbMath1505.91361OpenAlexW4312106760MaRDI QIDQ2111242

Leandro Sánchez-Betancourt, Álvaro Cartea

Publication date: 28 December 2022

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-022-00491-w

zbMATH Keywords

latencyhigh-frequency tradingalgorithmic tradingstochastic delay

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial markets (91G15)

Related Items (1)

Double-Execution Strategies Using Path Signatures

Cites Work

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