"Optimal Execution with Dynamic Order Flow Imbalance."

Kyle Bechler, Michael Ludkovski (2015)

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DOI: 10.1137/140992254

access: closed

type: Journal Article

metadata version: 2018-11-02

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Kyle Bechler, Michael Ludkovski:
Optimal Execution with Dynamic Order Flow Imbalance. SIAM J. Financial Math. 6(1): 1123-1151 (2015)

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