Algorithmic trading for online portfolio selection under limited market liquidity
نویسندگان
چکیده
منابع مشابه
Market Closure , Portfolio Selection , and Liquidity Premia ∗
Constantinides (1986) finds that transaction cost has only a second order effect on liquidity premia. In this paper, we show that simply incorporating the well-established time-varying return dynamics across trading and nontrading periods generates a first order effect that is much greater than that found by the existing literature and comparable to empirical evidence. Surprisingly, the higher ...
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ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2020
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2020.03.050