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Optimal Execution with Quadratic Variation Inventories
SSRN Electronic Journal
◽
10.2139/ssrn.3836898
◽
2021
◽
Author(s):
Rene Carmona
◽
Laura Leal
Keyword(s):
Quadratic Variation
◽
Optimal Execution
Download Full-text
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Optimal Execution of Statistical Arbitrage Strategies with Stochastic Trading Volume
SSRN Electronic Journal
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10.2139/ssrn.2326947
◽
2013
◽
Author(s):
James Eustace
◽
Peter F. Pope
◽
Stephen E. Satchell
Keyword(s):
Trading Volume
◽
Statistical Arbitrage
◽
Optimal Execution
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Vega-Vanna-Volga Pricing of Claims on Exponential Quadratic Variation
SSRN Electronic Journal
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10.2139/ssrn.3425744
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2019
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Author(s):
Frido Rolloos
Keyword(s):
Quadratic Variation
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On estimation of quadratic variation for multivariate pure jump semimartingales
Stochastic Processes and their Applications
◽
10.1016/j.spa.2021.04.016
◽
2021
◽
Author(s):
Johannes Heiny
◽
Mark Podolskij
Keyword(s):
Quadratic Variation
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Requirements for optimal execution of oops with tests
Proceedings of the 2nd international conference on Supercomputing - ICS '88
◽
10.1145/55364.55387
◽
1988
◽
Cited By ~ 3
Author(s):
A. Uht
Keyword(s):
Optimal Execution
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Quadratic Variation of Functionals of Brownian Motion
The Annals of Probability
◽
10.1214/aop/1176995717
◽
1977
◽
Vol 5
(5)
◽
pp. 756-769
◽
Cited By ~ 4
Author(s):
Albert T. Wang
Keyword(s):
Brownian Motion
◽
Quadratic Variation
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Optimal execution of large scale simulations in the cloud. The case of ROUTE-TO-PA SIM online preference simulation
2016 Winter Simulation Conference (WSC)
◽
10.1109/wsc.2016.7822408
◽
2016
◽
Author(s):
Przemyslaw Szufel
◽
Marcin Czupryna
◽
Bogumil Kaminski
Keyword(s):
Large Scale
◽
Optimal Execution
◽
Large Scale Simulations
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Optimal execution of portfolio trades
Conference Record of the Thirty-First Asilomar Conference on Signals, Systems and Computers (Cat. No.97CB36136)
◽
10.1109/acssc.1997.680575
◽
2002
◽
Author(s):
J.T. Rickard
◽
W.A. Lupien
◽
G.A. Wallace
Keyword(s):
Optimal Execution
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Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
Applied Mathematical Finance
◽
10.1080/1350486x.2012.755817
◽
2013
◽
Vol 20
(5)
◽
pp. 415-449
◽
Cited By ~ 18
Author(s):
S. T. Tse
◽
P. A. Forsyth
◽
J. S. Kennedy
◽
H. Windcliff
Keyword(s):
Quadratic Variation
◽
Trading Strategies
◽
Optimal Trading
◽
The Mean
◽
Mean Variance
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Estimating quadratic variation using realized variance
Journal of Applied Econometrics
◽
10.1002/jae.691
◽
2002
◽
Vol 17
(5)
◽
pp. 457-477
◽
Cited By ~ 327
Author(s):
Ole E. Barndorff-Nielsen
◽
Neil Shephard
Keyword(s):
Quadratic Variation
◽
Realized Variance
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OPTIMAL EXECUTION HORIZON
Mathematical Finance
◽
10.1111/mafi.12045
◽
2013
◽
Vol 25
(3)
◽
pp. 640-672
◽
Cited By ~ 6
Author(s):
David Easley
◽
Marcos Lopez de Prado
◽
Maureen O'Hara
Keyword(s):
Optimal Execution
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