Optimal trade execution : a mean quadratic variation approach
P. A. Forsyth; J. S. Kennedy; S. T. Tse; H. Windcliff
| Year of publication: |
2012
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|---|---|
| Authors: | Forsyth, Peter A. ; Kennedy, J. S. ; Tse, S. T. ; Windcliff, H. |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 36.2012, 12, p. 1971-1991
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| Subject: | Optimal trading | Mean quadratic variation | HJB equation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009701897