A Study on the Optimal Order Execution Problem for Stochastic Market Depth Models
碩士 === 國立中山大學 === 應用數學系研究所 === 104 === Optimal order execution problem is an important issue faced by institutional traders, i.e. how should a trader splits a large order into small orders over time to minimize his execution cost? Chen, Kou, and Wang (2015) proposed a partition algorithm to solve th...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/64475958474649884659 |