Optimal trade execution for Gaussian signals with power-law resilience
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Publication:5072915
DOI10.1080/14697688.2021.1950919zbMath1487.91131OpenAlexW3185579903MaRDI QIDQ5072915
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Publication date: 5 May 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2021.1950919
Fredholm integral equationsGaussian processesoptimal liquidationhigh frequency tradingtransient price impactmarket microstructure modelingtrading with signals
Related Items (4)
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact ⋮ Optimal Trading with Signals and Stochastic Price Impact ⋮ Strategic Execution Trajectories ⋮ Optimal Execution: A Review
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