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Optimal trading of algorithmic orders in a liquidity fragmented market place
Kumaresan, Miles; Krejić, Nataša - 2015
Persistent link: https://www.econbiz.de/10011284394
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A problem of optimization in a case of foreign investment
Casasús, Trinidad; Pérez, Juan Carlos - In: Financial modelling : with 74 tables : [a selection of …, (pp. 111-124). 2000
Persistent link: https://www.econbiz.de/10001484967
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A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
Fonseca, José da; Malevergne, Yannick - In: Journal of economic dynamics & control 128 (2021), pp. 1-34
Persistent link: https://www.econbiz.de/10012628258
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A Simple Microstructure Model Based on the Cox-BESQ Process With Application to Optimal Execution Policy
Da Fonseca, José; Malevergne, Yannick - 2021
We develop a microstructure model whose order ow is driven by a Cox-BESQ process. We derive important analytical properties of the Cox-BESQ process in order to explicit the stock price dynamics at different time scales, provide different parameter estimators and solve the optimal execution...
Persistent link: https://www.econbiz.de/10013221240
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A partitioning algorithm for Markov decision processes with applications to market microstructure
Chen, Ningyuan; Kou, Steven; Wang, Chun - In: Management science : journal of the Institute for … 64 (2018) 2, pp. 784-803
Persistent link: https://www.econbiz.de/10011823146
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A global optimization heuristic for estimating agent based models
Gilli, Manfred; Winker, Peter - 2002
Persistent link: https://www.econbiz.de/10013441031
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Optimal execution with liquidity risk in a diffusive order book market
Lee, Hyoeun; Lee, Kiseop - In: International journal of financial engineering 10 (2023) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10014444510
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One-dimensional cutting stock optimization : the case of a low ratio between stock and order lengths
Gradišar, Miro - 2006
Persistent link: https://www.econbiz.de/10008657671
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Optimal trading with cointegrated pairs of stocks
Yamada, Yuji; Primbs, James A. - In: Recent advances in financial engineering 2011: …, (pp. 183-202). 2012
Persistent link: https://www.econbiz.de/10009573431
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Optimal execution of multiasset block orders under stochastic liquidity
Makimoto, Naoki; Sugihara, Yoshihiko - 2010
Persistent link: https://www.econbiz.de/10008748180