Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions.

Aurélien Alfonsi Florian Klöck Alexander Schied

Published in: Math. Oper. Res. (2016)

Keyphrases

positive definite
structure tensor
covariance matrix
geometric structure
kernel function
kernel matrix
sufficient conditions
diffusion tensor
vector valued
objective function
regression model