Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact
From MaRDI portal
Publication:2200233
DOI10.1016/j.cnsns.2016.03.012OpenAlexW3122425071MaRDI QIDQ2200233
Gianbiagio Curato, Fabrizio Lillo, Jim Gatheral
Publication date: 19 September 2020
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2016.03.012
Numerical analysis (65-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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