Optimal Execution with Quadratic Variation Inventories

  title={Optimal Execution with Quadratic Variation Inventories},
  author={Ren{\'e} A. Carmona and Laura Leal},
  journal={SSRN Electronic Journal},
The first half of the paper is devoted to description and implementation of statistical tests arguing for the presence of a Brownian component in the inventories and wealth processes of individual traders. We use intra-day data from the Toronto Stock Exchange to provide empirical evidence of this claim. We work with regularly spaced time intervals, as well as with asynchronously observed data. The tests reveal with high significance the presence of a non-zero Brownian motion component. The… 
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