A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
Year of publication: |
2021
|
---|---|
Authors: | Fonseca, José da ; Malevergne, Yannick |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 128.2021, p. 1-34
|
Subject: | Microstructure model | Stochastic intensity model | Cox-BESQ process | Optimal execution | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Marktmikrostruktur | Market microstructure | Stochastischer Prozess | Stochastic process |
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