Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem (Q4902224)
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scientific article; zbMATH DE number 6130653
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem |
scientific article; zbMATH DE number 6130653 |
Statements
Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem (English)
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25 January 2013
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transient price impact
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market impact model
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optimal order execution
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price manipulation
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trans-action-triggered price manipulation
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Bochner form
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positive definite function
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no short sales in Markowitz portfolio
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