Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach.
Sophie LaruelleCharles-Albert LehalleGilles PagèsPublished in: SIAM J. Financial Math. (2011)
Keyphrases
- optimal solution
- dynamic programming
- matching algorithm
- optimization algorithm
- worst case
- computational cost
- learning algorithm
- experimental evaluation
- np hard
- globally optimal
- preprocessing
- computational complexity
- improved algorithm
- simulated annealing
- computationally efficient
- theoretical analysis
- search space
- recognition algorithm
- expectation maximization
- locally optimal
- monte carlo
- closed form
- times faster
- optimal parameters
- weighting coefficients
- particle swarm optimization
- high accuracy
- cost function
- search algorithm
- data structure
- objective function