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Calibration of optimal execution of financial transactions in the presence of transient market impact
Calibration financial transactions market
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2012/9/14
Trading large volumes of a nancial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A ...
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Continuous-Time Process iin the Presence of Market Microstructure Noise
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2014/3/13
In theory, the sum of squares of log returns sampled at high frequency estimates their variance. When market microstructure noise is present but unaccounted for, however,we show that the optimal sampl...
ESTIMATING DETERMINISTIC TRENDS IN THE PRESENCE OF SERIALLY CORRELATED ERRORS
DETERMINISTIC TRENDS PRESENCE OF SERIALLY CORRELATED ERRORS
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2014/3/18
This paper studies the problems of estimation and inference in the linear trend model yt = a + P3t + ut, where ut follows an autoregressive process with largest root p and , is...