Optimal Liquidity-Based Trading Tactics
DOI10.1287/stsy.2021.0078zbMath1489.91234arXiv1803.05690OpenAlexW3209289112MaRDI QIDQ5084495
Othmane Mounjid, Charles-Albert Lehalle, Mathieu Rosenbaum
Publication date: 24 June 2022
Published in: Stochastic Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.05690
stochastic controlMarkov jump processesadverse selectionmarket microstructurequeuing modelergodic propertiesmarket impactlimit order bookhigh frequency tradingoptimal tacticsoptimal trading strategiesexecution probabilities
Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80) Portfolio theory (91G10)
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Cites Work
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