Price impact without averaging
Year of publication: |
2023
|
---|---|
Authors: | Bellani, Claudio ; Brigo, Damiano ; Pakkanen, Mikko S. ; Sánchez-Betancourt, Leandro |
Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 30.2023, 4, p. 175-206
|
Subject: | Hawkes processes | metaorder | order-driven markets | Price impact |
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