Optimal execution in Hong Kong given a market-on-close benchmark
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Publication:4554447
DOI10.1080/14697688.2017.1334126zbMath1400.91540OpenAlexW3124314539MaRDI QIDQ4554447
Nicholas Westray, Christoph Frei
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1334126
Cites Work
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- OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH
- Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach
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