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Lorenz, Christopher

  1. Drift dependence of optimal trade execution strategies under transient\n price impact
    2012/04/12 by Christopher Lorenz, Lorenz, Christopher, Alexander Schied +1 · 1 citation
    Economics, Econometrics and Finance · #49N10 #60H30 #91G80 #93E20 #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications #Trading and Market Microstructure (q-fin.TR)