Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact
Curato, Gianbiagio, Gatheral, Jim, Lillo, FabrizioVolume:
39
Language:
english
Journal:
Communications in Nonlinear Science and Numerical Simulation
DOI:
10.1016/j.cnsns.2016.03.012
Date:
October, 2016
File:
PDF, 566 KB
english, 2016