Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters.

Julia Ackermann Thomas Kruse Mikhail Urusov

Published in: SIAM J. Financial Math. (2021)

Keyphrases

computational model
statistical model
parameter values
closed form
mathematical model
linear model
autoregressive
measured data
operating point
bayesian networks
dynamic programming
management system
parameter estimation
sensitivity analysis
stochastic dynamic programming