A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
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Publication:2246615
DOI10.1016/J.JEDC.2021.104137zbMath1475.91340OpenAlexW3159758598MaRDI QIDQ2246615
José Da Fonseca, Yannick Malevergne
Publication date: 16 November 2021
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104137
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