Optimal liquidation under stochastic liquidity
Year of publication: |
January 2018
|
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Authors: | Becherer, Dirk ; Bilarev, Todor ; Frentrup, Peter |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 1, p. 39-68
|
Subject: | Stochastic liquidity | Transient price impact | Optimal liquidation | Stochastic volume effect | Singular control | Finite-fuel problem | Free boundary | Inverse local time | Elastic reflection | Theorie | Theory | Liquidität | Liquidity | Stochastischer Prozess | Stochastic process | Handelsvolumen der Börse | Trading volume | Portfolio-Management | Portfolio selection | Marktliquidität | Market liquidity | Mathematische Optimierung | Mathematical programming |
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