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Results tagged with market-microstructure
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user 43127
Market microstructure is generally speaking the way markets are organized at the impact of there structure on the price formation process.
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Optimization problem with a constraint
You should think of the integral as you would of a sum. Then the usual Lagrangian approach seems very natural.
\begin{align}
\mathcal{L} &= \int_\underline{\theta}^\overline{\theta} \left( \theta …
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