An explicit optimal strategy for flow trades at NASDAQ around its close

DOI10.1007/978-3-319-99719-3_45zbMATH Open1414.62417OpenAlexW2899472119MaRDI QIDQ2417143

Chad Yan, Christoph Frei

Publication date: 11 June 2019

Full work available at URL: https://doi.org/10.1007/978-3-319-99719-3_45

zbMATH Keywords

benchmarkoptimal trade executionNASDAQclosing price

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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