A NOTE ON OPTIMAL LIQUIDATION WITH LINEAR PRICE IMPACT

By YAN DOLINSKY, DORON GREENSTEIN

Published 2024-02-21

Everscope rating

1413

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Probabilistic Solution. Problem types: Optimization, Portfolio Optimization.

arXiv:2402.14100 · Paper rankings

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