Optimal trade execution for Gaussian signals with power-law resilience
Martin Forde, Leandro Sánchez-Betancourt and Benjamin Smith
| Year of publication: |
2022
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|---|---|
| Authors: | Forde, Martin ; Sánchez-Betancourt, Leandro ; Smith, Benjamin |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 3, p. 585-596
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| Subject: | Fredholm integral equations | Gaussian processes | High frequency trading | Market microstructure modeling | Optimal liquidation | Trading with signals | Transient price impact | Theorie | Theory | Marktmikrostruktur | Market microstructure | Wertpapierhandel | Securities trading | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process | Signalling | Elektronisches Handelssystem | Electronic trading | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1950919 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013167782