Work

Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models

Year: 2021

Type: article

Source: Finance and Stochastics

DOI: 10.1007/s00780-021-00464-5

Authors: Julia Ackermann, Thomas Kruse, Mikhail Urusov

Institutions: Justus-Liebig-Universität Gießen, University of Duisburg-Essen

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3035244341

FWCI: 2.28

Cites: 34

Cited by: 19

Related to: 10