Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach
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Publication:5388695
DOI10.1137/090780596zbMath1270.62115arXiv0910.1166OpenAlexW2077769342MaRDI QIDQ5388695
Charles-Albert Lehalle, Gilles Pagès, Sophie Laruelle
Publication date: 19 April 2012
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0910.1166
stochastic approximationmarket impactasset allocationstochastic Lagrangian algorithmmonotone dynamic systemsreinforcement principle
Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Stochastic approximation (62L20)
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