Optimal trade execution with uncertain volume target
In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty. Yet there exist situations, such as in the power market, in which the volume to be traded can o...
Päätekijät: | Vaes, J, Hauser, R |
---|---|
Aineistotyyppi: | Journal article |
Kieli: | English |
Julkaistu: |
Infopro Digital Services
2022
|
Samankaltaisia teoksia
-
Uncertain execution in order-driven markets
Tekijä: Sanchez Betancourt, L
Julkaistu: (2021) -
Modelling optimal execution strategies for Algorithmic trading
Tekijä: Virgil DAMIAN
Julkaistu: (2015-12-01) -
Optimal trade execution for Gaussian signals with power-law resilience
Tekijä: Forde, M, et al.
Julkaistu: (2021) -
Practical Application of Deep Reinforcement Learning to Optimal Trade Execution
Tekijä: Woo Jae Byun, et al.
Julkaistu: (2023-06-01) -
Hitting an uncertain target
Tekijä: Veit Stuphorn
Julkaistu: (2016-07-01)