A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy (Q2246615)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy |
scientific article |
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A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy (English)
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16 November 2021
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microstructure model
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stochastic intensity model
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Cox-BESQ process
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optimal execution
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