OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS

DOI10.1142/S0219024917500054zbMath1396.91671MaRDI QIDQ2970320

Rossella Agliardi, Ramazan Gençay

Publication date: 30 March 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic dynamic programminglimit ordersoptimal trade execution

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

Cites Work

• A theory of Markovian time-inconsistent stochastic control in discrete time
• LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
• Optimal order placement in limit order markets
• Optimal Portfolio Liquidation with Limit Orders
• GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
• Optimal high-frequency trading with limit and market orders

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