Title:

A Simple Microstructure Model Based on the Cox-BESQ Process with Application to Optimal Execution Policy

Authors:

José da Fonseca (Auckland U Technology, Universite Paris 1 Pantheon-Sorbonne)
Yannick Malevergne (Universite Paris 1 Pantheon-Sorbonne)

Journal:

Journal of Economic Dynamics and Control

Year:

2021

Volume:

128

JEL codes:

C58 - Financial Econometrics
G13 - Contingent Pricing; Futures Pricing

DOI:

10.1016/j.jedc.2021.104137