Dynamic optimal execution in a mixed-market-impact Hawkes price model
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- Emmanuel Bacry & Adrian Iuga & Matthieu Lasnier & Charles-Albert Lehalle, 2014. "Market impacts and the life cycle of investors orders," Papers 1412.0217, arXiv.org, revised Dec 2014.
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This paper has been announced in the following NEP Reports:- NEP-MST-2014-04-05 (Market Microstructure)
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