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- Portfolio liquidation games with self exciting order flow (G. Fu, U.Horst, X. Xia)
- Portfolio liquidation under transient price impact - theoretical solution and implementation with 100 NASDAQ stocks (Y. Chen, U. Horst & H.H. Tran)
- The microstructure of stochastic volatility models with self-exciting jump dynamics (U. Horst & W. Xu)