MATH 5440 HW4 KDB+ Q
MATH 5440: Week 4 Assignement Due Date: February 17, 2023 at 10am Exercise 1 Example impact computations This exercise provides impact curve examples for two impact models. Assume that (0, 1) represents a full trading day. Closed-form examples I Consider the original OW model dIt = −βItdt + λdQt with β, λ > 0. 1. …