Optimal execution with Hawkes market impact functions
This thesis studies the modeling of irregularly spaced tick data using intensity mod- els, and the optimal trading strategy for executing orders based on these models. It is divided into five chapters: Time-deformation modeling of FX returns, Modeling the inten- sity of trades using order book infor...
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University of Warwick
2013
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.582466 |