Market making and portfolio liquidation under uncertainty
Year of publication: |
2014
|
---|---|
Authors: | Nyström, Kaj ; Aly, Sidi Mohamed Ould ; Zhang, Changyong |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 5, p. 1-33
|
Subject: | High frequency trading | market making | optimal execution | stochastic control | Hamilton-Jacobi-Bellman equation | Portfolio-Management | Portfolio selection | Elektronisches Handelssystem | Electronic trading | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory |
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