Liquidation with self-exciting price impact
Metadata only
Date
2016-01Type
- Journal Article
Publication status
publishedExternal links
Journal / series
Mathematics and Financial EconomicsVolume
Pages / Article No.
Publisher
SpringerSubject
Optimal liquidation; Price impact; Self-excitement; Risk aversionOrganisational unit
03899 - Muhle-Karbe, Johannes (ehemalig)
03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
Notes
Received 19 December 2014, Accepted 29 June 2015, Published online 4 July 2015. Also published in the Swiss Finance Institute research paper series.More
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