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Strategic trading with information acquisition and long-memory stochastic liquidity
Han, Jinhui; Li, Xiaolong; Ma, Guiyuan; Kennedy, Adrian … - In: European journal of operational research : EJOR 308 (2023) 1, pp. 480-495
Persistent link: https://www.econbiz.de/10014283068
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Optimal execution with regime-switching market resilience
Siu, Chi Chung; Guo, Ivan; Zhu, Song-Ping; Elliott, … - In: Journal of economic dynamics & control 101 (2019), pp. 17-40
Persistent link: https://www.econbiz.de/10012131017
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An analytical formula for VIX futures and its applications
Zhu, Song-ping; Lian, Guang-hua - In: The journal of futures markets 32 (2012) 2, pp. 166-190
Persistent link: https://www.econbiz.de/10009487022