OpenAlex | DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS

Discrete Time Optimal Execution Under A Generalized Price Impact Model With Markovian Exogenous Orders

Work

Year: 2021

Type: article

Source: International Journal of Theoretical and Applied Finance

Authors Masaaki Fukasawa, Masamitsu Ohnishi, Makoto Shimoshimizu

Institutions Osaka University, Osaka University of Economics, Tokyo Metropolitan University

Cites: 33

Cited by: 4

Related to: 10

FWCI: 0.793

Citation percentile (by year/subfield): 77.06

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder Japan Society for the Promotion of Science

Grant ID 19J10501