An optimal control strategy for execution of large stock orders using long short-term memory networks
Year of publication: |
2023
|
---|---|
Authors: | Papanicolaou, Andrew ; Fu, Hao ; Krishnamurthy, Prasanth ; Healy, Brian ; Khorrami, Farshad |
Published in: |
The journal of computational finance : JFC. - London : Infopro Digital Risk, ISSN 1755-2850, ZDB-ID 2091445-3. - Vol. 26.2023, 4, p. 37-65
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Subject: | price impact | order books | optimal execution | long short-term memory (LSTM) networks | trading volume |
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