TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS

DOI10.1111/j.1467-9965.2011.00478.xzbMath1278.91061OpenAlexW1929167035MaRDI QIDQ4906522

Jim Gatheral, Alexander Schied, Alla Slynko

Publication date: 28 February 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00478.x

zbMATH Keywords

Fredholm integral equation market impact model transient price impact price manipulation optimal order execution transaction-triggered price manipulation

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Fredholm integral equations (45B05)

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Cites Work