A NOTE ON OPTIMAL LIQUIDATION WITH LINEAR PRICE IMPACT
By YAN DOLINSKY, DORON GREENSTEIN
Rating
1388
Battle Count: 24
Relevance
8/10
Highly relevant for developing optimal liquidation strategies in markets with price impact
Implementation Complexity
7/10
Requires advanced mathematical understanding and implementation of fractional Brownian motion
Reproducibility
4/5
The paper provides detailed mathematical proofs and formulas, enhancing reproducibility
About this paper
Methodology: Probabilistic Solution. Problem types: Optimization, Portfolio Optimization.
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