搜索结果: 1-4 共查到“理论经济学 price impact”相关记录4条 . 查询时间(0.065 秒)
Adaptive Execution: Exploration and Learning of Price Impact
adaptive execution price impact reinforcement learning regret bound
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2012/9/14
We consider a model in which a trader aims to maximize expected risk-adjusted profit while trading a single security. In our model, each price change isa linear combination of observed factors, impact...
Stochastic impulse control on optimal execution with price impact and transaction cost
Price impact impulse control dynamic programming vis-cosity solutions
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2011/3/30
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of...
The endogenous dynamics of markets: price impact and feedback loops
endogenous dynamics markets price impact feedback loops
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2010/10/21
We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenou...
Optimal Execution Strategy in the Presence of Price Impact
Price impact impulse control singular control
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2010/10/21
We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset affecting the price of th...