Market or limit orders?

DOI10.1080/14697688.2019.1672882zbMath1466.91313OpenAlexW2984280004MaRDI QIDQ4991033

Daniel Jon Mitchell, Jingnan Chen

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2019.1672882

zbMATH Keywords

dynamic programminglimit ordermarket orderimplementation shortfallorder placement

Mathematics Subject Classification ID

Dynamic programming (90C39) Financial markets (91G15)

Related Items (1)

Mechanics of good trade execution in the framework of linear temporary market impact

Cites Work

• The market impact of a limit order
• Optimal placement in a limit order book: an analytical approach
• LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
• A Stochastic Model for Order Book Dynamics
• Continuous Auctions and Insider Trading
• Optimal execution with limit and market orders
• Optimal Portfolio Liquidation with Limit Orders

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