activity
20192026
most citedProbabilistic Forecasting for Daily Electricity Loads and Quantiles for Curve-to-Curve Regression

4 citations · 7 across the 5 of their papers we have counts for

collaborators
Showing q-fin.MFShow all

1 paper · 1 filter

q-fin.MF2019★ 2 cited

Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks

Ying Chen, Ulrich Horst, Hoang Hai Tran

We derive an explicit solution for deterministic market impact parameters in the Graewe and Horst (2017) portfolio liquidation model. The model allows to combine various forms of m…