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Equilibrium effects of intraday order-splitting benchmarks - MaRDI portal

Equilibrium effects of intraday order-splitting benchmarks (Q829334)

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Equilibrium effects of intraday order-splitting benchmarks
scientific article

    Statements

    title
    Equilibrium effects of intraday order-splitting benchmarks (English)
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    author
    N. E. Zubov
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    publication date
    5 May 2021
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    zbMATH Keywords
    dynamic trading
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    TWAP
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    VWAP
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    portfolio rebalancing
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    liquidity
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    market-maker inventory
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    equilibria
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    market microstructure
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    Identifiers

    zbMATH DE Number
    7344621
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    Wikidata QID
    Q114222184
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    OpenAlex ID
    W3013600325
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    arXiv ID
    1803.08336
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