A model for optimal execution of atomic orders
type: Item
instance of: scholarly article
title: A model for optimal execution of atomic orders
zbMATH Open document ID: 1190.90210
author: Miles Kumaresan
author: Nataša Krejić
published in: Computational Optimization and Applications
publication date: 2010-06-09T00:00:00Z
Mathematics Subject Classification ID: 90C30
Mathematics Subject Classification ID: 90C25
zbMATH DE Number: 5719093
zbMATH Keywords: nonlinear programming
zbMATH Keywords: convex programming
zbMATH Keywords: optimal execution strategy
zbMATH Keywords: algorithmic trading
MaRDI profile type: Publication
full work available at URL: s10589-009-9245-6
OpenAlex ID: W2154027072
cites work: Optimal execution with nonlinear impact functions and trading-enhanced risk
cites work: Introduction to Stochastic Programming
DOI: 10.1007/S10589-009-9245-6
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description: scientific article; zbMATH DE number 5719093