A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy (Q2246615)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy |
scientific article |
Statements
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy (English)
0 references
16 November 2021
0 references
microstructure model
0 references
stochastic intensity model
0 references
Cox-BESQ process
0 references
optimal execution
0 references
