output
20072026
most citedMarket impact and trading profile of large trading orders in stock markets

228 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2011Show all

4 papers · 1 filter

math.OC2011★ 11 cited

Finding maxmin allocations in cooperative and competitive fair division

Marco Dall'Aglio, Camilla Di Luca

We consider upper and lower bounds for maxmin allocations of a completely divisible good in both competitive and cooperative strategic contexts. We then derive a subgradient algori…

q-fin.PM2011

Investment/consumption problem in illiquid markets with regime-switching

Paul Gassiat, Fausto Gozzi, Huyên Pham

We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival…

math.PR2011

Generalized covariation and extended Fukushima decompositions for Banach valued processes. Application to windows of Dirichlet processes

Cristina Di Girolami, Francesco Russo

This paper concerns a class of Banach valued processes which have finite quadratic variation. The notion introduced here generalizes the classical one, of Métivier and Pellaumail w…

math.PR2011

On stochastic calculus related to financial assets without semimartingales

Rosanna Coviello, Cristina Di Girolami, Francesco Russo

This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous p…