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Jose, da Fonseca ; José, DA FONSECA ; Yannick, Malevergne ; Yannick, Malevergne. (2021) A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy.
In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000725.

Full description at Econpapers

cites:

Daley, D.J. ; Vere-Jones, D. An Introduction to the Theory of Point Processes: Elementary Theory and Methods. 2003 Springer-Verlag: New York

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