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20112022
most citedOn computing some special values of hypergeometric functions

8 citations · 22 across the 12 of their papers we have counts for

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q-fin.TR2011

Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method

Massimiliano Marzo, Daniele Ritelli, Paolo Zagaglia

We consider the optimal trade execution strategies for a large portfolio of single stocks proposed by Almgren (2003). This framework accounts for a nonlinear impact of trades on av…