Optimal execution cost for liquidation through a limit order market
Year of publication: |
February 2016
|
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Authors: | Chevalier, Etienne ; Ly Vath, Vathana ; Scotti, Simone ; Roch, Alexandre |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 1, p. 1-26
|
Subject: | Liquidity risk | limit-order books | impulse control | viscosity solutions | variational inequalities | Liquidität | Liquidity | Wertpapierhandel | Securities trading | Theorie | Theory | Transaktionskosten | Transaction costs | Marktliquidität | Market liquidity | Geld-Brief-Spanne | Bid-ask spread |
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