"Optimal Trading with Stochastic Liquidity and Volatility."

Robert Almgren (2012)

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DOI: 10.1137/090763470

access: closed

type: Journal Article

metadata version: 2017-05-17

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Robert Almgren:
Optimal Trading with Stochastic Liquidity and Volatility. SIAM J. Financial Math. 3(1): 163-181 (2012)

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