Optimal trading of algorithmic orders in a liquidity fragmented market place
type: Item
instance of: scholarly article
title: Optimal trading of algorithmic orders in a liquidity fragmented market place
zbMATH Open document ID: 1318.90066
author: Miles Kumaresan
author: Nataša Krejić
published in: Annals of Operations Research
publication date: 2015-08-21T00:00:00Z
Mathematics Subject Classification ID: 90C30
Mathematics Subject Classification ID: 90C90
Mathematics Subject Classification ID: 90B90
zbMATH DE Number: 6474570
zbMATH Keywords: nonlinear programming
zbMATH Keywords: optimal execution strategy
zbMATH Keywords: multiple trading venues
zbMATH Keywords: algorithmic trading
zbMATH Keywords: price impact
zbMATH Keywords: fill probability
MaRDI profile type: Publication
full work available at URL: s10479-015-1815-7
OpenAlex ID: W2029718075
cites work: Optimal execution strategies in limit order books with general shape functions
cites work: High-frequency trading in a limit order book
cites work: Optimal execution with nonlinear impact functions and trading-enhanced risk
cites work: Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
cites work: Optimal Control of Trading Algorithms: A General Impulse Control Approach
cites work: Dynamic liquidation under market impact
cites work: The price impact of order book events: market orders, limit orders and cancellations
cites work: A model for optimal execution of atomic orders
cites work: Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
cites work: Optimal Execution in a General One-Sided Limit-Order Book
cites work: High frequency trading, liquidity, and execution cost
DOI: 10.1007/S10479-015-1815-7
description: scientific article; zbMATH DE number 6474570