Optimal execution with regime-switching market resilience
type: Item
instance of: scholarly article
title: Optimal execution with regime-switching market resilience
zbMATH Open document ID: 1411.91648
author: Chi Chung Siu
author: Ivan Guo
author: Song-Ping Zhu
author: Robert J. Elliott
publication date: 2019-03-27T00:00:00Z
full work available at URL: https://unisa.alma.exlibrisgroup.com/view/delivery/61USOUTHAUS_INST/12177287050001831
Mathematics Subject Classification ID: 91G99
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7043293
zbMATH Keywords: optimal execution problem
zbMATH Keywords: limit order book
zbMATH Keywords: stochastic market resilience
zbMATH Keywords: permanent price impact
zbMATH Keywords: temporary price impact
zbMATH Keywords: Markov chains
MaRDI profile type: Publication
OpenAlex ID: W2914642177
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Wikidata QID: Q128421954
DOI: 10.1016/J.JEDC.2019.01.006
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 7043293