Modelling optimal execution strategies for Algorithmic trading
This paper is focused on the optimal execution of portfolio transactions considered as a stochastic optimal control problem. The main novelty of this work consists in a new methodology, introduced in Udrişte and Damian in 2011, for the stochastic optimal control problems, applied to Almgren and Chri...
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| Format: | Article |
| Language: | English |
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General Association of Economists from Romania
2015-12-01
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| Series: | Theoretical and Applied Economics |
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| Online Access: |
http://store.ectap.ro/articole/1134.pdf
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