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"Multi-asset Optimal Execution and Statistical Arbitrage Strategies under ..."
Philippe Bergault, Fayçal Drissi, Olivier Guéant (2022)
- Philippe Bergault, Fayçal Drissi, Olivier Guéant:
Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein-Uhlenbeck Dynamics. SIAM J. Financial Math. 13(1): 353-390 (2022)
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