Optimal execution with regime-switching market resilience
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DOI: 10.1016/j.jedc.2019.01.006
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Cited by:
- Jean-Pierre Fouque & Sebastian Jaimungal & Yuri F. Saporito, 2021. "Optimal Trading with Signals and Stochastic Price Impact," Papers 2101.10053, arXiv.org.
- Olbrys, Joanna & Mursztyn, Michal, 2019. "Estimation of intraday stock market resiliency: Short-Time Fourier Transform approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
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Keywords
Optimal execution problem; Limit order book; Stochastic market resilience; Permanent price impact; Temporary price impact; Markov chains;All these keywords.
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