Optimal Order Scheduling for Deterministic Liquidity Patterns

DOI10.1137/120897511zbMath1308.91198arXiv1310.3077OpenAlexW2176735300MaRDI QIDQ2940756

Peter Bank, Antje Fruth

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.3077

zbMATH Keywords

convexificationconvex analysisenvelopessingular controlliquidityorder schedulingoptimal order execution

Mathematics Subject Classification ID

Convex programming (90C25) Applications of optimal control and differential games (49N90) Deterministic scheduling theory in operations research (90B35) Auctions, bargaining, bidding and selling, and other market models (91B26) Actuarial science and mathematical finance (91G99)

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Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions ⋮ Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models ⋮ Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters ⋮ Continuous-time duality for superreplication with transient price impact

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