Optimal execution with limit and market orders

Quantitative Finance

Volumn 15, Issue 8, 2015, Pages 1279-1291

  Cartea, Álvaro ^a   Jaimungal, Sebastian ^b  

^a UNIVERSITY COLLEGE LONDON   (United Kingdom)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

Acquisition; Algorithmic trading; High frequency trading; Impulse control; Liquidation; TWAP

Indexed keywords

EID: 84936891006     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2015.1032543     Document Type: Article

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