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"Optimal Trade Execution in an Order Book Model with Stochastic Liquidity ..."

Julia Ackermann, Thomas Kruse, Mikhail Urusov (2021)

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DOI: 10.1137/20M135409X

access: closed

type: Journal Article

metadata version: 2021-07-19

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Julia Ackermann, Thomas Kruse, Mikhail Urusov:
Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters. SIAM J. Financial Math. 12(2): 788-822 (2021)

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