On Jump Risk of Liquidation in Limit Order Book
碩士 === 國立中央大學 === 統計研究所 === 103 === We deal with the optimized problem of portfolio liquidation with submitting limit orders into limit order book in this paper. Many other papers focus on minimizing transaction costs arising from permanent and temporary market impact, while we focus on maximizing t...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/3769p5 |