Tag Info

New answers tagged order-execution

2

Here is how I would approach such a calibration. Assuming we have the necessary market data one can easily construct the emprical distribution of the arrival rate. Let $\lambda_{emp}(\delta)$ be the empirical distribution. Then one can define a metric by $$m(k,A,N)=\sum_{i=1}^N |\lambda_{emp}(i)-\lambda^a(i)|$$ After you have decided upon a suitable ...

Top 50 recent answers are included