Tianyi Jia

University of Toronto

Toronto, Ontario M5S 3G8

Canada

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Trading Foreign Exchange Triplets

SIAM Journal on Financial Mathematics
Number of pages: 35 Posted: 18 Oct 2017 Last Revised: 27 Apr 2020
University of Oxford, University of Toronto - Department of Statistics and University of Toronto
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Abstract:

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Foreign Exchange, Currency Pairs, Optimal Liquidation, Execution, Inventory Aversion, Ambiguity Aversion