15 citations · 17 across the 10 of their papers we have counts for
1 paper · 1 filter
Jin Hyuk Choi, Kasper Larsen, Duane J. Seppi
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitiv…