most citedOn Parametric Optimal Execution and Machine Learning Surrogates

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q-fin.TR2022★ 1 cited

On Parametric Optimal Execution and Machine Learning Surrogates

Tao Chen, Mike Ludkovski, Moritz Voß

We investigate optimal order execution problems in discrete time with instantaneous price impact and stochastic resilience. First, in the setting of linear transient price impact w…