Large investor trading impacts on volatility

Annales de l'Institut Henri Poincare (C) Analyse Non Lineaire

Volumn 24, Issue 2, 2007, Pages 311-323

  Lions, Pierre Louis ^a,b   Lasry, Jean Michel ^c  

^a UNIVERSITÉ PARIS DAUPHINE   (France)

^b l'alimentation et l'Environnement   (France)

^c CALYON   (France)

Author keywords

[No Author keywords available]

Indexed keywords

COSTS; MATHEMATICAL MODELS; PROBLEM SOLVING; STOCHASTIC CONTROL SYSTEMS;

INVESTOR; TRADING IMPACTS; UTILITY MAXIMIZATION APPROACH;

NONLINEAR ANALYSIS;

EID: 33947223132     PISSN: 02941449     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.anihpc.2005.12.006     Document Type: Article

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