2 papers
q-fin.CP2020
Optimal execution with liquidity risk in a diffusive order book market
Hyoeun Lee, Kiseop Lee
We study the optimal order placement strategy with the presence of a liquidity cost. In this problem, a stock trader wishes to clear her large inventory by a predetermined time hor…
math.ST2017
Estimation of a noisy subordinated Brownian Motion via two-scales power variations
Jose E. Figueroa-Lopez, K. Lee
High frequency based estimation methods for a semiparametric pure-jump subordinated Brownian motion exposed to a small additive microstructure noise are developed building on the t…