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High frequency trading, volatility, microstructure, regulation
Trading Costs, Market Impact, Liquidity, Anomalies-based Investments
Bond liquidity, transaction costs analysis, riskless principal trades, price impact, Enhanced TRACE
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: MAFI.pdf
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optimal liquidation, limit orders, stochastic optimal control, viscosity solutions
Portfolio Selection, Long Only, Long-Short, Factors, Sparsity, Optimization, Number of positions, Benchmark
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