Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
Year of publication: |
2021
|
---|---|
Authors: | Ackermann, Julia ; Kruse, Thomas ; Urusov, Mikhail |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 25.2021, 4, p. 757-810
|
Subject: | Optimal trade execution | Continuous-time stochastic optimal control | Limit order book | Stochastic order book depth | Stochastic resilience | Quadratic BSDE | Infinite-variation execution strategy | Semimartingale execution strategy | Stochastischer Prozess | Stochastic process | Wertpapierhandel | Securities trading | Portfolio-Management | Portfolio selection | Martingal | Martingale | Kontrolltheorie | Control theory |
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