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20162026
most citedEfficient Estimation in the Tails of Gaussian Copulas

1 citations · 3 across the 9 of their papers we have counts for

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q-fin.TR2017

Optimal placement of a small order in a diffusive limit order book

José E. Figueroa-López, Hyoeun Lee, Raghu Pasupathy

We study the optimal placement problem of a stock trader who wishes to clear his/her inventory by a predetermined time horizon t, by using a limit order or a market order. For a di…