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Optimal Execution Horizon

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  • David Easley
  • Marcos Lopez Prado
  • Maureen O'Hara

Abstract

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Suggested Citation

  • David Easley & Marcos Lopez Prado & Maureen O'Hara, 2015. "Optimal Execution Horizon," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 640-672, July.
    • Handle: RePEc:bla:mathfi:v:25:y:2015:i:3:p:640-672
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    File URL: http://hdl.handle.net/10.1111/mafi.2015.25.issue-3
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    Cited by:

    1. Emilio Said, 2022. "Market Impact: Empirical Evidence, Theory and Practice," Working Papers hal-03668669, HAL.
    2. Claudio Bellani & Damiano Brigo, 2021. "Mechanics of good trade execution in the framework of linear temporary market impact," Quantitative Finance, Taylor & Francis Journals, vol. 21(1), pages 143-163, January.
    3. David Easley & Marcos López de Prado & Maureen O’Hara & Zhibai Zhang & Wei Jiang, 2021. "Microstructure in the Machine Age [The risk of machine learning]," The Review of Financial Studies, Society for Financial Studies, vol. 34(7), pages 3316-3363.
    4. Emilio Said, 2022. "Market Impact: Empirical Evidence, Theory and Practice," Papers 2205.07385, arXiv.org.
    5. Abad, David & Massot, Magdalena & Pascual, Roberto, 2018. "Evaluating VPIN as a trigger for single-stock circuit breakers," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 21-36.

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