bv_cvxbook_extra_exercises

Bv_cvxbook_extra_exercises

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Unformatted text preview: 1)ω ) −1). The function Y (ω ) is called a spectral factor of the trigonometric polynomial 102 13 Finance 13.1 Transaction cost. Consider a market for some asset or commodity, which we assume is infinitely divisible, i.e., can be bought or sold in quantities of shares that are real numbers (as opposed to integers). The order book at some time consists of a set of offers to sell or buy the asset, at a given price, up to a given quantity of shares. The N offers to sell the asset have positive prices per share sell sell psell , . . . , psell , sorted in increasing order, in positive share quantities q1 , . . . , qN . The M offers to 1 N buy buy buy the asset have positive prices p1 , . . . , pN , sorted in decreasing order, and positive quantities buy buy q1 , . . . , qM . The price psell is called the (current) ask price for the asset; pbuy is the bid price 1 1 for the asset. The ask price is larger than the bid price; the difference is called the spread. The average of the ask and b...
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This note was uploaded on 09/10/2013 for the course C 231 taught by Professor F.borrelli during the Fall '13 term at University of California, Berkeley.

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