Transient linear price impact and fredholm integral equations

Mathematical Finance

Volumn 22, Issue 3, 2012, Pages 445-474

  Gatheral, Jim ^a   Schied, Alexander ^b   Slynko, Alla ^b  

^a CITY UNIVERSITY OF NEW YORK   (United States)

^b UNIVERSITY OF MANNHEIM   (Germany)

Author keywords

Fredholm integral equation; Market impact model; Optimal order execution; Price manipulation; Transaction triggered price manipulation; Transient price impact

Indexed keywords

EID: 84862011216     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2011.00478.x     Document Type: Article

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