Dynamic optimal execution in a mixed-market-impact Hawkes price model
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Title
Dynamic optimal execution in a mixed-market-impact Hawkes price model
Authors
Keywords
Market impact model, Optimal execution, Hawkes processes, Market microstructure, High-frequency trading, Price manipulations, 91G99, 91B24, 91B26, 60G55, 49J15, C02, C61, C62, G11
Journal
FINANCE AND STOCHASTICS
Volume 20, Issue 1, Pages 183-218
Publisher
Springer Nature
Online
2015-11-06
DOI
10.1007/s00780-015-0282-y
References
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