Optimal portfolio liquidation with limit orders

SIAM Journal on Financial Mathematics

Volumn 3, Issue 1, 2012, Pages 740-764

  Guéant, Olivier ^a   Lehalle, Charles Albert ^b   Fernandez Tapia, Joaquin ^c  

^a UNIVERSITÉ PIERRE ET MARIE CURIE   (France)

^b Head of Quantitative Research   (France)

^c SORBONNE UNIVERSITÉ   (France)

Author keywords

High frequency trading; Optimal execution; Stochastic optimal control

Indexed keywords

EID: 84872570445     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/110850475     Document Type: Article

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