Optimal execution in a general one-sided limit-order book

SIAM Journal on Financial Mathematics

Volumn 2, Issue 1, 2011, Pages 183-212

  Predoiu, Silviu ^a   Shaikhet, Gennady ^b   Shreve, Steven ^a  

^a CARNEGIE MELLON UNIVERSITY   (United States)

^b CARLETON UNIVERSITY   (Canada)

Author keywords

Limit order book; Optimal execution; Price impact

Indexed keywords

EID: 84868245353     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/10078534X     Document Type: Article

References (18)

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