On parametric optimal execution and machine learning surrogates

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2023-12-19 DOI:10.1080/14697688.2023.2282657

Tao Chen, Mike Ludkovski, Moritz Voß

引用次数: 0

Abstract

We investigate optimal order execution problems in discrete time with instantaneous price impact and stochastic resilience. First, in the setting of linear transient price impact we derive a closed...

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关于参数优化执行和机器学习代用程序

我们研究了具有瞬时价格影响和随机弹性的离散时间中的最优订单执行问题。首先，在线性瞬时价格影响的环境中，我们推导出一个封闭的...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.