Affiliation:
1. University College London
2. University of Toronto
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Reference21 articles.
1. Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk;Almgren;Appl. Math. Finance,2003
2. High-Frequency Trading in a Limit Order Book;Avellaneda;Quant. Finance,2008
3. Liquidation in Limit Order Books with Controlled Intensity;Bayraktar;Math. Finance,2012
4. Optimal Control of Execution Costs;Bertsimas;J. Financ. Markets,1998
5. Optimal Control of Trading Algorithms: A General Impulse Control Approach;Bouchard;SIAM J. Financ. Math.,2011
Cited by
63 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献