Optimal Execution with Dynamic Order Flow Imbalance
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Publication:3456840
DOI10.1137/140992254zbMath1326.93128arXiv1409.2618OpenAlexW1521692736MaRDI QIDQ3456840
Michael Ludkovski, Kyle Bechler
Publication date: 9 December 2015
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1409.2618
Optimal stochastic control (93E20) Mathematical economics (91B99) Financial applications of other theories (91G80)
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