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Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution.

Seungki MinCostis MaglarasCiamac C. Moallemi
Published in: Oper. Res. (2022)
Keyphrases
  • cross sectional
  • cross sections
  • portfolio optimization
  • cross section
  • chinese stock market
  • blood vessels
  • image analysis
  • structural equation modeling
  • mri data
  • ct scans
  • deformation field