Título:

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

Autores:

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

Revista:

Journal of Economic Dynamics and Control

Ano:

2021

Volume:

128

Códigos JEL:

C58 - Financial Econometrics
G13 - Contingent Pricing; Futures Pricing

DOI:

10.1016/j.jedc.2021.104137