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. [doi]
@article{LaruelleLP11,
title = {Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach},
author = {Sophie Laruelle and Charles-Albert Lehalle and Gilles Pagès},
year = {2011},
doi = {10.1137/090780596},
url = {http://dx.doi.org/10.1137/090780596},
researchr = {https://researchr.org/publication/LaruelleLP11},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {2},
number = {1},
pages = {1042-1076},
}