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This paper addresses the optimal scheduling of the liquidation of a portfolio using a new
angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss in [2], or
only on the liqu...
The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders
limit orders market orders tail risks
2011/3/31
This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system b...