Optimal trading of algorithmic orders in a liquidity fragmented market place
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DOI: 10.1007/s10479-015-1815-7
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References listed on IDEAS
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Cited by:
- Viktor Manahov, 2018. "The rise of the machines in commodities markets: new evidence obtained using Strongly Typed Genetic Programming," Annals of Operations Research, Springer, vol. 260(1), pages 321-352, January.
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More about this item
Keywords
Nonlinear programming; Optimal execution strategy; Multiple trading venues; Algorithmic trading; Price impact ; Fill probability; 90C30; 90C90; 90B90;All these keywords.
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