Drift dependence of optimal trade execution strategies under transient price impact
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References listed on IDEAS
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- repec:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0346-2 is not listed on IDEAS
- Roman Gayduk & Sergey Nadtochiy, 2016. "Endogenous Formation of Limit Order Books: Dynamics Between Trades," Papers 1605.09720, arXiv.org, revised Jun 2017.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-23 (All new papers)
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