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Optimal Liquidation of Child Limit Orders - MaRDI portal

Optimal Liquidation of Child Limit Orders

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Publication:5739154

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DOI10.1287/MOOR.2016.0816zbMath1364.91146OpenAlexW2557761447MaRDI QIDQ5739154

Sheung Chi Phillip Yam, Wei Zhou

Publication date: 2 June 2017

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.2016.0816

zbMATH Keywords

mean reversion optimal multiple stopping momentum indicator optimal order placement

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

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