15 Broadway, Ultimo
Sydney 2007, New South Wales
Sydney, New South Wales 2109
University of Technology, Sydney
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Volume Weighted Average Price, VWAP, Mean Variance Optimal, Algorithmic Trading, Transaction Costs
Binomial, Point Process, Doubly Stochastic, Relative Volume, Cox Process, Random Probability Measure, VWAP, Volume Weighted Average Pricing, NYSE, New York Stock Exchange
Time Deformation, Long Range Dependent, Stochastic Clock, Fractal Activity Time, New York Stock Exchange, Doubly Stochastic Binomial Point Process
Mean-Variance Optimal Hedging, Minimum Variance Hedging, Optimal Price Trading, Trade Separation, Variance Optimal Martingale Measure
Industry concentration, competition, stock return
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Competition, Industry concentration, Innovation, Schumpeter
True Spread, Censored Spread, Observed Spread, Tick Size, Exchange Policy
High Frequency, Electricity, Instantaneous Demand, Temperature, Generalised Additive Model (GAM)
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