Optimal Execution with Quadratic Variation Inventories

Keyphrases

• Actual Behaviour 50%
• Asynchronously 50%
• Brownian Motion 50%
• Execution Model 50%
• Individual Traders 50%
• Intraday Data 50%
• Inventory Process 100%
• Model Fitting 50%
• Optimal Behavior 50%
• Optimal Execution 100%
• Quadratic Variation 100%
• Statistical Test 50%
• Toronto Stock Exchange 50%
• Trader Behavior 50%
• Traders 50%
• Wealth Process 50%

Mathematics

• Brownian Motion 100%
• Fitted Model 100%
• Observed Data 100%
• Quadratic Variation 100%
• Statistical Test 100%
• time interval τ 100%

Economics, Econometrics and Finance

• Levy Process 100%
• Stock Exchange 100%
• Wealth 100%