Extension and calibration of a Hawkes-based optimal execution model
Aurélien Alfonsi, Pierre Blanc
| Year of publication: |
September 2016
|
|---|---|
| Authors: | Alfonsi, Aurélien ; Blanc, Pierre |
| Published in: |
Market microstructure and liquidity. - New Jersey : World Scientific, ISSN 2382-6266, ZDB-ID 2880405-3. - Vol. 2.2016, 2, p. 1-55
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| Subject: | Calibration | Hawkes processes | backtest | market impact model | optimal execution | market microstructure | high-frequency trading | price manipulations | Theorie | Theory | Marktmikrostruktur | Market microstructure | Elektronisches Handelssystem | Electronic trading | Börsenkurs | Share price | Wertpapierhandel | Securities trading | Geld-Brief-Spanne | Bid-ask spread |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2382626616500052 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011588251