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Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact.
Gianbiagio Curato
Jim Gatheral
Fabrizio Lillo
Published in:
Commun. Nonlinear Sci. Numer. Simul. (2016)
Keyphrases
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steady state
image analysis
piecewise linear
data analysis
short term
fixed point
finite number