An optimal execution problem in finance targeting the market trading speed: An MFG formulation.
Dena FirooziPeter E. CainesPublished in: CDC (2017)
Keyphrases
- financial markets
- trading strategies
- foreign exchange
- stock market
- investment strategies
- electronic markets
- stock exchange
- futures market
- market data
- trading systems
- profit maximizing
- trading rules
- closed form solutions
- computational intelligence
- dynamic programming
- optimal solution
- electricity markets
- trading agents
- stock price
- lp norm
- electronic commerce
- worst case
- portfolio management
- workflow management systems