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Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact.

Gianbiagio CuratoJim GatheralFabrizio Lillo
Published in: Commun. Nonlinear Sci. Numer. Simul. (2016)
Keyphrases
  • steady state
  • image analysis
  • piecewise linear
  • data analysis
  • short term
  • fixed point
  • finite number