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Publication:3534743
zbMath1154.91407MaRDI QIDQ3534743
Aurélien Alfonsi, Antje Fruth, Alexander Schied
Publication date: 4 November 2008
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
market impact modeloptimal portfolio liquidationliquidity riskcall auctionmarket orderconstrained trading strategieslimit order book with resilience
Stochastic models in economics (91B70) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)
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