Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility

Fuente: arXiv

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Bibliographic Details
Main Authors:	Chan, Patrick, Sircar, Ronnie, Zimbidis, Iosif
Format:	Preprint
Published:	2025
Subjects:	Computational Finance Mathematical Finance Portfolio Management Trading and Market Microstructure 91G10 (Primary), 93E20, 60H10 (Secondary)
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2507.17162