Dynamic optimal execution in a mixed-market-impact Hawkes price model
Year of publication: |
January 2016
|
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Authors: | Alfonsi, Aurélien ; Blanc, Pierre |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 20.2016, 1, p. 183-218
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Subject: | Market impact model | Optimal execution | Hawkes processes | Market microstructure | High-frequency trading | Price manipulations | Theorie | Theory | Marktmikrostruktur | Börsenkurs | Share price | Elektronisches Handelssystem | Electronic trading | Wertpapierhandel | Securities trading | Geld-Brief-Spanne | Bid-ask spread |
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