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This paper addresses the challenges faced in large-volume trading, where executing substantial orders can result in significant market impact and slippage. To mitigate these effects, this study proposes a volatility-volume-based order slicing strateg
Externí odkaz:
http://arxiv.org/abs/2412.12482
Publikováno v:
In IFAC PapersOnLine 2022 55(10):1822-1827
Publikováno v:
OPSEARCH; Mar2022, Vol. 59 Issue 1, p1-19, 19p