Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Leandro Sánchez-Betancourt"'
Publikováno v:
Risks, Vol 8, Iss 4, p 105 (2020)
In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {Ft}t≥0 is generated by an information process {ξt}t≥0 defined in such a way that at some fixed time T an FT-measurable random variable XT is “revea
Externí odkaz:
https://doaj.org/article/e966af67b832466babf144825e954b0c
Publikováno v:
SIAM Journal on Financial Mathematics. 13:1379-1417
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::295294813ddb46b201a68f6e7d41a6eb
https://doi.org/10.1137/21m1456467
https://doi.org/10.1137/21m1456467
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6970f745cd1d8c9930c9b73c0fcb1a26
https://doi.org/10.2139/ssrn.4451933
https://doi.org/10.2139/ssrn.4451933
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::44116667f553f806394ec81a060eb673
https://doi.org/10.2139/ssrn.4459177
https://doi.org/10.2139/ssrn.4459177
Autor:
Álvaro Cartea, Samuel N. Cohen, Rob Graumans, Saad Labyad, Leandro Sánchez-Betancourt, Leon van Veldhuijzen
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d8df6ac657e8c4bb814e09e51bb9daa2
https://doi.org/10.2139/ssrn.4442770
https://doi.org/10.2139/ssrn.4442770
Latency is the time delay between an exchange streaming market data to a trader, the trader processing information and deciding to trade, and the exchange receiving the order from the trader. Liquidity takers face a moving target problem as a consequ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5d483f0db8afa8417c3a7ab0636ee5bf
https://doi.org/10.1137/19m1258888
https://doi.org/10.1137/19m1258888
Publikováno v:
Quantitative Finance. 22:585-596
We characterize the optimal signal-adaptive liquidation strategy for an agent subject to power-law resilience and zero temporary price impact with a Gaussian signal, which can include e.g an OU pro...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5709a90314f2104c789dfbed49d2da2f
https://doi.org/10.1080/14697688.2021.1950919
https://doi.org/10.1080/14697688.2021.1950919
We show how traders use marketable limit orders (MLOs) to liquidate a position over a trading window when there is latency in the marketplace. MLOs are liquidity taking orders that specify a price limit and are for immediate execution only; however,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::694e5098371f2610ab99b370aa71dd86
https://doi.org/10.1007/s00780-022-00491-w
https://doi.org/10.1007/s00780-022-00491-w
Given an n-dimensional stochastic process X driven by P-Brownian motions and Poisson random measures, we seek the probability measure Q, with minimal relative entropy to P, such that the Q-expectations of some terminal and running costs are constrain
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::82fb3efaf7f14df2e24127ace2514dd8
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e3e43c90f2fff1d16f3b1e48f10d3d6b
https://doi.org/10.2139/ssrn.4265814
https://doi.org/10.2139/ssrn.4265814