Trading Constraints in Continuous-Time Kyle Models

DOI10.1137/21m1446617zbMath1519.91240arXiv2206.08117OpenAlexW4380608911MaRDI QIDQ6100505

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Publication date: 22 June 2023

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2206.08117

zbMATH Keywords

market microstructureoptimal order executionorder-splittingtrading target

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial markets (91G15)

Cites Work

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• On Pricing Rules and Optimal Strategies in General Kyle--Back Models
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