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Quantitative Finance Volume 22, 2022 - Issue 3
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Research Papers

Optimal trade execution for Gaussian signals with power-law resilience

Martin Forde† Maths Dept, King's College London School of Natural and Mathematical Sciences, London, UKCorrespondence[email protected]
,
Leandro Sánchez-Betancourt‡ Mathematical Institute, University of Oxford, Andrew Wiles Building, Radcliffe Observatory Quarter, Woodstock Road, Oxford, OX2 6GG, UK
&
Benjamin Smith§ Dept. Mathematics, King's College London, Strand, London, WC2R 2LS, UK
Pages 585-596 | Received 02 Oct 2020, Accepted 25 Jun 2021, Published online: 23 Jul 2021

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