Long Time Behavior of Optimal Liquidation Problems

By Xinman Cheng, Guanxing Fu, Xiaonyu Xia

Published 2024-05-24

Everscope rating

1454.2

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Backward Stochastic Differential Equations (BSDEs). Problem types: Optimal Liquidation, Stochastic Control, Time Series Analysis.

arXiv:2405.14177 · Paper rankings

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