2 papers
q-fin.MF2025
Regulation or Competition:Major-Minor Optimal Liquidation across Dark and Lit Pools
Thibaut Mastrolia, Hao Wang
We study the optimal liquidation problem in both lit and dark pools for investors facing execution uncertainty in a continuous-time setting with market impact. First, we design an…
stat.ME2024
Network double autoregression
Tingting Li, Hao Wang
Modeling high-dimensional time series with simple structures is a challenging problem. This paper proposes a network double autoregression (NDAR) model, which combines the advantag…