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A simple microstructural explanation of the concavity of price impact
📝 Original Info Title: A simple microstructural explanation of the concavity of price impact ArXiv ID: 2001.01860 Date: 2020-12-15 Authors: …
Quantitative Finance / Q-Fin.MF
All posts under category "Quantitative Finance / Q-Fin.MF"
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At What Frequency Should the Kelly Bettor Bet?
📝 Original Info Title: At What Frequency Should the Kelly Bettor Bet? ArXiv ID: 1801.06737 Date: 2018-08-23 Authors: Chung-Han Hsieh, B. …
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Optimal Investment with Correlated Stochastic Volatility Factors
📝 Original Info Title: Optimal Investment with Correlated Stochastic Volatility Factors ArXiv ID: 1908.07626 Date: 2022-11-29 Authors: Maxim …
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On the American swaption in the linear-rational framework
📝 Original Info Title: On the American swaption in the linear-rational framework ArXiv ID: 1607.02067 Date: 2018-02-27 Authors: Damir …
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