Optimal Execution considering Trading Signal and Execution Risk Simultaneously
In this paper, we study the optimal execution problem by considering the trading signal and the transaction risk simultaneously. We propose an optimal execution problem by taking into account the trading signal and the execution risk with the associated decay kernel function and the transient price...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2021-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2021/5514413 |