Order book resilience, price manipulation, and the positive portfolio problem (Q4902224)
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scientific article; zbMATH DE number 6130653
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| English | Order book resilience, price manipulation, and the positive portfolio problem |
scientific article; zbMATH DE number 6130653 |
Statements
Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem (English)
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25 January 2013
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transient price impact
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market impact model
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optimal order execution
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price manipulation
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trans-action-triggered price manipulation
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Bochner form
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positive definite function
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no short sales in Markowitz portfolio
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0.8412033319473267
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0.8319428563117981
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0.830111563205719
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0.8246461749076843
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0.8212724328041077
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