15 citations · 48 across the 12 of their papers we have counts for
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q-fin.TR2014★ 15 cited
VWAP Execution as an Optimal Strategy
Takashi Kato
The volume weighted average price (VWAP) execution strategy is well known and widely used in practice. In this study, we explicitly introduce a trading volume process into the Almg…
q-fin.PR2014
A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information
Takashi Kato, Jun Sekine, Hiromitsu Yamamoto
A one-factor asset pricing model with an Ornstein--Uhlenbeck process as its state variable is studied under partial information: the mean-reverting level and the mean-reverting spe…