scholarly journals Optimal Execution with Quadratic Variation Inventories

2021 ◽  
Author(s):  
Rene Carmona ◽  
Laura Leal
Keyword(s):  
Quadratic Variation ◽  
Optimal Execution

Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies

2013 ◽  
Vol 20 (5) ◽  
pp. 415-449 ◽  
Author(s):  
S. T. Tse ◽  
P. A. Forsyth ◽  
J. S. Kennedy ◽  
H. Windcliff
Keyword(s):  
Quadratic Variation ◽  
Trading Strategies ◽  
Optimal Trading ◽  
The Mean ◽  
Mean Variance

scholarly journals Estimating quadratic variation using realized variance

2002 ◽  
Vol 17 (5) ◽  
pp. 457-477 ◽  
Author(s):  
Ole E. Barndorff-Nielsen ◽  
Neil Shephard
Keyword(s):  
Quadratic Variation ◽  
Realized Variance

OPTIMAL EXECUTION HORIZON

2013 ◽  
Vol 25 (3) ◽  
pp. 640-672 ◽  
Author(s):  
David Easley ◽  
Marcos Lopez de Prado ◽  
Maureen O'Hara
Keyword(s):  
Optimal Execution
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