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Optimal starting times, stopping times and risk measures for algorithmic trading
We derive explicit recursive formulas for Target Close (TC) and Implementation Shortfall (IS) in the Almgren-Chriss framework. We explain how to compute the optimal... -
Wavelet estimation of the long memory parameter for Hermite polynomial of Gau...
International audience -
High order chaotic limits of wavelet scalograms under long--range dependence
International audience
