Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution

DOI10.1287/opre.2021.2201zbMath1493.91114arXiv1811.05524OpenAlexW3122067138MaRDI QIDQ5080647

Constantinos Maglaras, Seungki Min, Ciamac Cyrus Moallemi

Publication date: 31 May 2022

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.05524

zbMATH Keywords

financial engineeringportfolio managementmarket microstructurefactor modeloptimal executionmarket impact

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites Work

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