Laura Körber

Technische Universität Berlin (TU Berlin)

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Optimal Execution and Speculation With Trade Signals

Number of pages: 42 Posted: 05 Jun 2023 Last Revised: 12 Jan 2024
Peter Bank, Álvaro Cartea and Laura Körber
Humboldt University of Berlin - Department of Mathematics, University of Oxford and Technische Universität Berlin (TU Berlin)
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Abstract:

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Optimal execution, speculation, trade signal, Meyer sigma-field, stochastic optimal control