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1Dissertation/ Thesis
المؤلفون: Sim, Min Kyu
Thesis Advisors: Deng, Shijie, Huo, Xiaoming
مصطلحات موضوعية: Quantitative finance, Asset pricing model, Factor model, Connectedness, High-frequency trading, Market impact, Price impact, Optimal order execution
وصف الملف: application/pdf
الاتاحة: http://hdl.handle.net/1853/54302
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2Academic Journal
المؤلفون: Aurélien Alfonsi, Alexander Schied
المساهمون: The Pennsylvania State University CiteSeerX Archives
مصطلحات موضوعية: Singular control, verification argument, capacity theory, optimal order execution, transient price impact, infinite-dimensional Riccati differential equation
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.393.2929; http://hal.inria.fr/docs/00/66/15/31/PDF/verification19wa.pdf
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3Academic Journal
المؤلفون: Rama Cont, Arseniy Kukanov
المساهمون: The Pennsylvania State University CiteSeerX Archives
مصطلحات موضوعية: Key words, limit order markets, optimal order execution, execution risk, order routing, fragmented markets, transaction costs, financial engineering, stochastic approximation, Robbins-Monro algorithm Contents
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.393.435; http://hal.inria.fr/docs/00/73/76/13/PDF/OrderRoutingV6.pdf
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4Report
المؤلفون: Cont, Rama, Kukanov, Arseniy
المساهمون: Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Université Pierre et Marie Curie - Paris 6 (UPMC)-Université Paris Diderot - Paris 7 (UPD7)-Centre National de la Recherche Scientifique (CNRS), Columbia University New York
المصدر: https://hal.science/hal-00737491 ; 2012.
مصطلحات موضوعية: order routing, limit order book, limit order market, liquidity, optimal order execution, transaction costs, market microstructure, JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions, [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.TR]Quantitative Finance [q-fin]/Trading and Market Microstructure [q-fin.TR]
Relation: hal-00737491; https://hal.science/hal-00737491; https://hal.science/hal-00737491v2/document; https://hal.science/hal-00737491v2/file/OrderRoutingV6.pdf
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5Academic Journal
المؤلفون: Yipeng, Yang
مصطلحات موضوعية: Constrained price impact, optimal order execution, stochastic bang-bang control
وصف الملف: application/pdf
Relation: 1. Yipeng Yang, Finite Horizon Optimal Execution with Bounded Rate of Transaction, Stochastic Models, 35(4) 469-495, 2019.; https://hdl.handle.net/10657.1/2308
الاتاحة: https://hdl.handle.net/10657.1/2308
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6Dissertation/ Thesis
المؤلفون: Tomaš, Marino
المساهمون: Kostanjčar, Zvonko
مصطلحات موضوعية: optimalno izvršenje naloga, utjecaj na tržište, podržano učenje, duboko učenje, duboko podržano učenje, duboko Q-učenje, proksimalna optimizacija politika, optimal order execution, market impact, reinforcement learning, deep learning, deep reinforcement learning, deep Q-learning, proximal policy optimization
وصف الملف: application/pdf
Relation: https://zir.nsk.hr/islandora/object/fer:11638; https://urn.nsk.hr/urn:nbn:hr:168:143217; https://repozitorij.unizg.hr/islandora/object/fer:11638; https://repozitorij.unizg.hr/islandora/object/fer:11638/datastream/PDF
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7Academic Journal
المؤلفون: Jin Hyuk Choi, Kasper Larsen, Duane Seppi
مصطلحات موضوعية: Mathematical Sciences not elsewhere classified, Market microstructure, optimal order execution, price discovery, asymetric information, liquidity, portfolio rebalancing
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8Academic Journal
المؤلفون: Cont, R, Kukanov, A
المصدر: 39 ; 21
مصطلحات موضوعية: Social Sciences, Science & Technology, Physical Sciences, Business, Finance, Economics, Mathematics, Interdisciplinary Applications, Mathematical Methods, Business & Economics, Mathematical Methods In Social Sciences, Limit order markets, Optimal order execution, Execution risk, Order routing, Algorithmic trading, Supervised learning, Machine learning, Transaction costs, Stochastic approximation, Robbins-Monro algorithm, C61, G31, OPTIMAL EXECUTION, PRICE DYNAMICS, LIQUIDITY, BOOK, q-fin.TR, q-fin.PM, 01 Mathematical Sciences
Relation: Quantitative Finance; http://hdl.handle.net/10044/1/32903; https://dx.doi.org/10.1080/14697688.2016.1190030
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9
المؤلفون: CURATO, GIANBIAGIO
المساهمون: Curato, Gianbiagio, LILLO, FABRIZIO
مصطلحات موضوعية: Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie, neural network, optimal order execution, direct search algorithm, Lyapunov exponents, nonlinear transient market impact, propagator model, Markov switching processe, bid-ask spread, tick size, Double chain Markov processe, volatility clustering, Urysohn equation of the first kind, large tick stock, Jensen-Shannon distance, bursts strategie, price change, SQP algorithm
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10
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11Academic Journal
المؤلفون: Er Schied
المساهمون: The Pennsylvania State University CiteSeerX Archives
مصطلحات موضوعية: Singular control, verification argument, capacity theory, optimal order execution, transient price
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.635.2930; http://hal-enpc.archives-ouvertes.fr/docs/00/66/15/31/PDF/verification19wa.pdf
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12Dissertation/ Thesis
المؤلفون: Sim, Min Kyu
المساهمون: Deng, Shijie, Huo, Xiaoming, Industrial and Systems Engineering, Pokutta, Sebastian, Kim, Soohun, Raval, Kautilya
مصطلحات موضوعية: Quantitative finance, Asset pricing model, Factor model, Connectedness, High-frequency trading, Market impact, Price impact, Optimal order execution, eco, manag
Relation: http://hdl.handle.net/1853/54302
الاتاحة: http://hdl.handle.net/1853/54302
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