Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach
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DOI: 10.1007/s11009-023-09996-z
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- Yang, Qing-Qing & Ching, Wai-Ki & Gu, Jia-wen & Wong, Tak Kwong & Zhu, Dong-Mei, 2024. "Viscosity solution for optimal liquidation problems with randomly-terminated horizon," Finance Research Letters, Elsevier, vol. 61(C).
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Keywords
Stochastic control problem; Optimal liquidation; Limit order books; Neural networks;All these keywords.
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