Trade Duration, Volatility and Market Impact
Author:
Publisher
Elsevier BV
Reference54 articles.
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2. Optimal execution of portfolio transactions;R Almgren;Journal of Risk,2001
3. Direct estimation of equity market impact;R Almgren;Risk,2005
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1. Neural stochastic agent‐based limit order book simulation with neural point process and diffusion probabilistic model;Intelligent Systems in Accounting, Finance and Management;2024-04-05
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3. A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization With MGARCH and Small Transaction Costs;IEEE Access;2023
4. Optimal solution of the liquidation problem under execution and price impact risks;Quantitative Finance;2022-03-24
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