Optimal execution with non-linear transient market impact
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Publication:4555057
DOI10.1080/14697688.2016.1181274zbMath1402.91680arXiv1412.4839MaRDI QIDQ4555057
Fabrizio Lillo, Jim Gatheral, Gianbiagio Curato
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1412.4839
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