Single- and multiplayer trade execution strategies under transient price impact

Doctoral thesis German OPEN
Strehle, Elias;
(2017)
  • Subject: 510 Mathematik
    arxiv: Computer Science::Computer Science and Game Theory

The problem of optimal execution is to trade a fixed amount of a financial asset over a fixed time horizon in a way that minimizes costs from price impact and transaction costs. Three types of price impact can be distinguished: Temporary, transient and permanen... View more
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