Economy – Quantitative Finance – Trading and Market Microstructure
Scientist
Economy
Quantitative Finance
Trading and Market Microstructure
Scientist
PMA
LPMA
Dealing with the Inventory Risk. A solution to the market making problem
General Intensity Shapes in Optimal Liquidation
Optimal Portfolio Liquidation with Limit Orders
Optimal posting distance of limit orders: a stochastic algorithm approach
Optimal split of orders across liquidity pools: a stochastic algorithm approach
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