Feedback effects in stochastic control problems with liquidity frictions
T Bilarev - 2018 - edoc.hu-berlin.de
In this thesis we study mathematical models of financial markets with a large trader (price
impact models) whose actions have transient impact on the risky asset prices. At first, we …
impact models) whose actions have transient impact on the risky asset prices. At first, we …
[PDF][PDF] An Application of Deep Reinforcement Learning for Order Execution
MB Reiter - 2020 - mbreiter.github.io
A trader who needs to sell or purchase a large quantity of shares has to decide on an
execution strategy to follow. A rational trader would strive to realize the optimal trading policy …
execution strategy to follow. A rational trader would strive to realize the optimal trading policy …