Managerial Economics > 2016 > Vol. 17, no. 2 > 241--260
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journal ISSN : | 1898-1143 |
journal e-ISSN : | 2353-3617 |
DOI | 10.7494/manage.2016.17.2.241 |
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Bibliography
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[1] Admati, A.R. and Peiderer, P. (1988) ‘A theory of intraday patterns: Volume and price variability’, The Review of Financial Studies, vol. 1(1), pp. 3–40.
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[2] Alfonsi, A. and Schied, A. (2010) ‘Optimal trade execution and absence of price manipulations in limit order book models’, SIAM Journal on Financial Mathematics, vol. 1, pp. 490–522.
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[3] Almgren, R. (2003) ‘Optimal execution with nonlinear impact functions and trading-enhanced risk’, Applied Mathematical Finance, vol. 10(1), pp. 1–18.