c xxxx Society for Industrial and Applied Mathematics
SIAM J. FINANCIAL MATH.
Vol. xx, pp. x
Optimal execution with multiplicative price impact
Xin Guo and Mihail Zervos
Abstract. We consider the so-called optimal execution problem in algorithmic trading,
Intro to Research in
Standard Error of the Mean
Inferential tests you can use
Do you speak the language?
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IEOR 222 Homework 1 (Due September 24, 2015, Thursday, Before lecture)
Using the data set from the Wharton business school
1 Design a statistical test for the Rolls model and the generalized models
on the spread formula.
2 Design a statistical test for th