Optimal trading of algorithmic orders in a liquidity fragmented market place
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Publication:492830
DOI10.1007/s10479-015-1815-7zbMath1318.90066OpenAlexW2029718075MaRDI QIDQ492830
Nataša Krejić, Miles Kumaresan
Publication date: 21 August 2015
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-015-1815-7
nonlinear programmingprice impactalgorithmic tradingfill probabilitymultiple trading venuesoptimal execution strategy
Applications of mathematical programming (90C90) Nonlinear programming (90C30) Case-oriented studies in operations research (90B90)
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