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Multivariate Hawkes process model of market participants behavior in the high frequency world
Chakravarty, Sugato; Lee, Kiseop; Xi, Yang - In: International journal of financial engineering 8 (2021) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10012654737
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Optimal execution with liquidity risk in a diffusive order book market
Lee, Hyoeun; Lee, Kiseop - In: International journal of financial engineering 10 (2023) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10014444510