Limit order trading with a mean reverting reference price

DOI10.3233/RDA-160118zbMath1409.91292arXiv1607.00454MaRDI QIDQ3119644

Saran Ahuja, Tzu-Wei Yang, Weiluo Ren, George S. Papanicolaou

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.00454

zbMATH Keywords

stochastic optimal controloptimal executionlimit order tradingmean reverting prices

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Actuarial science and mathematical finance (91G99)

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