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Optimal Execution with Identity Optionality
René Carmona
, Claire Zeng
Operations Research & Financial Engineering
Bendheim Center for Finance
High Meadows Environmental Institute
Mathematics
Princeton Institute for Computational Science and Engineering
Research output
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Contribution to journal
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Article
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peer-review
1
Scopus citations
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Keyphrases
Broker
100%
Optimal Execution
100%
Anonymous Trading
66%
Sensitivity Analysis
33%
Optimal Strategy
33%
Stochastic Differential Game
33%
Common Noise
33%
Price Impact
33%
Probablistic
33%
Solution in Closed Form
33%
Execution Framework
33%
Temporary Price Impact
33%
Agent Strategies
33%
Mean Field Games of Controls
33%
Toronto Stock Exchange
33%
Trading Processes
33%
Impact Frameworks
33%
Permanent Price Impact
33%
Computer Science
Stochastic Differential
100%
Optimal Strategy
100%
Trading Process
100%
Economics, Econometrics and Finance
Differential Game
100%
Stock Exchange
100%