Optimal execution of multiasset block orders under stochastic liquidity

Author(s)

• 牧本, 直樹 マキモト, ナオキ
• Sugihara, Yoshihiko
• 日本銀行金融研究所 ニホン ギンコウ キンユウ ケンキュウジョ

Bibliographic Information

Optimal execution of multiasset block orders under stochastic liquidity

Naoki Makimoto and Yoshihiko Sugihara

（IMES discussion paper series, no. 2010-E-25）

Institute for Monetary and Economic Studies, Bank of Japan, 2010

Other Title

IMES

Note

Cover title

Bibliography: p. 32-33

Details

• NCID: BB05389560
• Country Code: ja
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Tokyo
• Pages/Volumes: 33 p.
• Size: 30 cm
• Classification:
  • LCC : HG4521
  • DC : 332
• Subject Headings:
  • LCSH : Securities -- Mathematical models
  • LCSH : Transaction costs -- Mathematical models
  • LCSH : Liquidity (Economics) -- Mathematical models
• Parent Bibliography ID:
  • BN15051361