FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1915524904> ?p ?o ?g. }

• W1915524904 endingPage "650" @default.
• W1915524904 startingPage "627" @default.
• W1915524904 abstract "We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in which the goal is to maximize the expected revenue from liquidating the entire position held. We solve this optimal liquidation problem for power‐law and exponential‐decay order book models explicitly and discuss several extensions. We also consider the continuous selling (or fluid) limit when the trading units are ever smaller and the intensity is ever larger. This limit provides an analytical approximation to the value function and the optimal solution. Using techniques from viscosity solutions we show that the discrete state problem and its optimal solution converge to the corresponding quantities in the continuous selling limit uniformly on compacts." @default.
• W1915524904 created "2016-06-24" @default.
• W1915524904 creator A5005237318 @default.
• W1915524904 creator A5074760129 @default.
• W1915524904 date "2012-06-14" @default.
• W1915524904 modified "2023-10-03" @default.
• W1915524904 title "LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY" @default.
• W1915524904 cites W1487586009 @default.
• W1915524904 cites W1564085775 @default.
• W1915524904 cites W1979891294 @default.
• W1915524904 cites W1988270113 @default.
• W1915524904 cites W1998397860 @default.
• W1915524904 cites W2024680294 @default.
• W1915524904 cites W2032316144 @default.
• W1915524904 cites W2036619561 @default.
• W1915524904 cites W2040582618 @default.
• W1915524904 cites W2059660622 @default.
• W1915524904 cites W2076943400 @default.
• W1915524904 cites W2088065116 @default.
• W1915524904 cites W2104226740 @default.
• W1915524904 cites W2106919403 @default.
• W1915524904 cites W2111152528 @default.
• W1915524904 cites W2153904170 @default.
• W1915524904 cites W2154130907 @default.
• W1915524904 cites W2162288466 @default.
• W1915524904 cites W2167457133 @default.
• W1915524904 cites W2177195156 @default.
• W1915524904 cites W2949470358 @default.
• W1915524904 cites W3121394145 @default.
• W1915524904 cites W3122421278 @default.
• W1915524904 cites W3125796404 @default.
• W1915524904 cites W4247468386 @default.
• W1915524904 doi "https://doi.org/10.1111/j.1467-9965.2012.00529.x" @default.
• W1915524904 hasPublicationYear "2012" @default.
• W1915524904 type Work @default.
• W1915524904 sameAs 1915524904 @default.
• W1915524904 citedByCount "111" @default.
• W1915524904 countsByYear W19155249042012 @default.
• W1915524904 countsByYear W19155249042013 @default.
• W1915524904 countsByYear W19155249042014 @default.
• W1915524904 countsByYear W19155249042015 @default.
• W1915524904 countsByYear W19155249042016 @default.
• W1915524904 countsByYear W19155249042017 @default.
• W1915524904 countsByYear W19155249042018 @default.
• W1915524904 countsByYear W19155249042019 @default.
• W1915524904 countsByYear W19155249042020 @default.
• W1915524904 countsByYear W19155249042021 @default.
• W1915524904 countsByYear W19155249042022 @default.
• W1915524904 countsByYear W19155249042023 @default.
• W1915524904 crossrefType "journal-article" @default.
• W1915524904 hasAuthorship W1915524904A5005237318 @default.
• W1915524904 hasAuthorship W1915524904A5074760129 @default.
• W1915524904 hasBestOaLocation W19155249042 @default.
• W1915524904 hasConcept C10138342 @default.
• W1915524904 hasConcept C121332964 @default.
• W1915524904 hasConcept C126255220 @default.
• W1915524904 hasConcept C134306372 @default.
• W1915524904 hasConcept C144237770 @default.
• W1915524904 hasConcept C14646407 @default.
• W1915524904 hasConcept C151201525 @default.
• W1915524904 hasConcept C151376022 @default.
• W1915524904 hasConcept C162324750 @default.
• W1915524904 hasConcept C170131372 @default.
• W1915524904 hasConcept C182306322 @default.
• W1915524904 hasConcept C198082294 @default.
• W1915524904 hasConcept C28826006 @default.
• W1915524904 hasConcept C33923547 @default.
• W1915524904 hasConcept C62520636 @default.
• W1915524904 hasConcept C63548660 @default.
• W1915524904 hasConcept C88731125 @default.
• W1915524904 hasConcept C91575142 @default.
• W1915524904 hasConcept C93038891 @default.
• W1915524904 hasConceptScore W1915524904C10138342 @default.
• W1915524904 hasConceptScore W1915524904C121332964 @default.
• W1915524904 hasConceptScore W1915524904C126255220 @default.
• W1915524904 hasConceptScore W1915524904C134306372 @default.
• W1915524904 hasConceptScore W1915524904C144237770 @default.
• W1915524904 hasConceptScore W1915524904C14646407 @default.
• W1915524904 hasConceptScore W1915524904C151201525 @default.
• W1915524904 hasConceptScore W1915524904C151376022 @default.
• W1915524904 hasConceptScore W1915524904C162324750 @default.
• W1915524904 hasConceptScore W1915524904C170131372 @default.
• W1915524904 hasConceptScore W1915524904C182306322 @default.
• W1915524904 hasConceptScore W1915524904C198082294 @default.
• W1915524904 hasConceptScore W1915524904C28826006 @default.
• W1915524904 hasConceptScore W1915524904C33923547 @default.
• W1915524904 hasConceptScore W1915524904C62520636 @default.
• W1915524904 hasConceptScore W1915524904C63548660 @default.
• W1915524904 hasConceptScore W1915524904C88731125 @default.
• W1915524904 hasConceptScore W1915524904C91575142 @default.
• W1915524904 hasConceptScore W1915524904C93038891 @default.
• W1915524904 hasIssue "4" @default.
• W1915524904 hasLocation W19155249041 @default.
• W1915524904 hasLocation W19155249042 @default.
• W1915524904 hasLocation W19155249043 @default.
• W1915524904 hasOpenAccess W1915524904 @default.
• W1915524904 hasPrimaryLocation W19155249041 @default.
• W1915524904 hasRelatedWork W1485248950 @default.

• next