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Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility

Patrick Chan et al.

Applied Mathematical Finance2025https://doi.org/10.1080/1350486x.2026.2620089article
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https://doi.org/https://doi.org/10.1080/1350486x.2026.2620089

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@article{patrick2025,
  title        = {{Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility}},
  author       = {Patrick Chan et al.},
  journal      = {Applied Mathematical Finance},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1080/1350486x.2026.2620089},
}

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Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility

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M · momentum0.50 × 0.15 = 0.07
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