搜索结果: 1-1 共查到“应用经济学 drift”相关记录1条 . 查询时间(0.061 秒)
Drift dependence of optimal order execution strategies under transient price impact
Drift dependence of optimal order execution strategies transient price impact Trading and Market Microstructure
2012/4/28
We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with expo...