Limit order trading with a mean reverting reference price
Saran Ahuja, George Papanicolaou, Weiluo Ren, Tzu-Wei Yang
| Year of publication: |
2017
|
|---|---|
| Authors: | Ahuja, Saran ; Papanicolaou, George ; Ren, Weiluo ; Yang, Tzu-Wei |
| Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 6.2017, 2, p. 121-136
|
| Subject: | Limit order trading | optimal execution | stochastic optimal control | mean reverting prices | Börsenkurs | Share price | Wertpapierhandel | Securities trading | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Kontrolltheorie | Control theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3233/RDA-160118 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011743827