Optimal execution in high-frequency trading with Bayesian learning
type: Item
instance of: scholarly article
title: Optimal execution in high-frequency trading with Bayesian learning
zbMATH Open document ID: 1400.91676
author: Bian Du
author: Hongliang Zhu
author: Jingdong Zhao
published in: Physica A
publication date: 2018-11-13T00:00:00Z
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6978377
zbMATH Keywords: high-frequency trading
zbMATH Keywords: optimal execution
zbMATH Keywords: Bayesian learning
zbMATH Keywords: dynamic programming
MaRDI profile type: Publication
full work available at URL: j.physa.2016.06.021
OpenAlex ID: W2414603688
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DOI: 10.1016/J.PHYSA.2016.06.021
description: scientific article; zbMATH DE number 6978377