Equilibrium effects of intraday order-splitting benchmarks
Year of publication: |
2021
|
---|---|
Authors: | Choi, Jin Hyuk ; Larsen, Kasper ; Seppi, Duane J. |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9660, ZDB-ID 2389109-9. - Vol. 15.2021, 2, p. 315-352
|
Subject: | Dynamic trading | TWAP | VWAP | Portfolio rebalancing | Liquidity | Market-maker inventory | Equilibria | Market microstructure | Marktmikrostruktur | Portfolio-Management | Portfolio selection | Theorie | Theory | Wertpapierhandel | Securities trading | Benchmarking | Finanzmarkt | Financial market | Aktienmarkt | Stock market |
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