|
|||||
|
|
Optimal Pair–Trade Execution with Generalized Cross–Impact |
|
| Authors: | Ohnishi Masamitsu Shimoshimizu Makoto |
| Abstract: | Asia-Pacific Financial Markets - We examine a discrete–time optimal pair–trade execution problem with generalized cross–impact. This research is an extension of Fukasawa... |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ | |