Optimal trade execution in Illiquid markets

Mathematical Finance

Volumn 21, Issue 4, 2011, Pages 681-701

  Bayraktar, Erhan ^a   Ludkovski, Michael ^b  

^a UNIVERSITY OF MICHIGAN   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Dark pools; Liquidity modeling; Markov modulated Poisson process; Optimal order execution

Indexed keywords

EID: 80051887575     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2010.00446.x     Document Type: Article

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