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pro vyhledávání: '"Bechler, Kyle"'
Autor:
Bechler, Kyle, Ludkovski, Michael
We investigate the behavior of limit order books on the meso-scale motivated by order execution scheduling algorithms. To do so we carry out empirical analysis of the order flows from market and limit order submissions, aggregated from tick-by-tick d
Externí odkaz:
http://arxiv.org/abs/1708.02715
Autor:
Bechler, Kyle, Ludkovski, Mike
We examine optimal execution models that take into account both market microstructure impact and informational costs. Informational footprint is related to order flow and is represented by the trader's influence on the flow imbalance process, while m
Externí odkaz:
http://arxiv.org/abs/1409.2618
Autor:
Bechler, Kyle
Publikováno v:
Bechler, Kyle. (2015). Optimal Execution with Order Flow. 0035: Statistics and Applied Probability. Retrieved from: http://www.escholarship.org/uc/item/6242k2z5
In this thesis we examine optimal execution models that take into account both market microstructure impact and informational costs. Informational footprint is related to order flow and is represented by the trader's influence on the expected order f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______325::1dca95e9197b4717aef559db0162f96f
http://www.escholarship.org/uc/item/6242k2z5
http://www.escholarship.org/uc/item/6242k2z5
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