Optimal execution horizon
David Easley; Marcos Lopez de Prado; Maureen O'Hara
| Year of publication: |
2015
|
|---|---|
| Authors: | Easley, David ; López de Prado, Marcos M. ; O'Hara, Maureen |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 25.2015, 3, p. 640-672
|
| Subject: | liquidity | flow toxicity | broker | VWAP | market microstructure | adverse selection | probability of informed trading | VPIN | OEH | Marktmikrostruktur | Market microstructure | Adverse Selektion | Adverse selection | Wertpapierhandel | Securities trading | Theorie | Theory | Asymmetrische Information | Asymmetric information | Liquidität | Liquidity | Geld-Brief-Spanne | Bid-ask spread | Insiderhandel | Insider trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011350553