Optimal pair-trade execution with generalized cross-impact
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Publication:2172552
DOI10.1007/s10690-021-09349-1zbMath1497.91300OpenAlexW3197522808MaRDI QIDQ2172552
Makoto Shimoshimizu, Masamitsu Ohnishi
Publication date: 16 September 2022
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-021-09349-1
Markov decision processexpected utility maximizationcross-impactMarkovian exogenous orderspair-trade execution
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Cites Work
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