"Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm ..."

Sophie Laruelle, Charles-Albert Lehalle, Gilles Pagès (2011)

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DOI: 10.1137/090780596

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type: Journal Article

metadata version: 2022-04-09

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Sophie Laruelle, Charles-Albert Lehalle, Gilles Pagès:
Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach. SIAM J. Financial Math. 2(1): 1042-1076 (2011)

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