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Price Impact in the VIX Futures Market and Mean-Field Games in two Order Books

Palabra clave:

S&P500, VIX, ETFs, Price impact, ETNs, and VIX futures

Creador:

Santawisook, Patchara

Advisor:

Sturm, Stephan

Editor:

Worcester Polytechnic Institute

Fecha de Creacion:

2022-12-07

Resource Type:

Dissertation

Degree:

PhD

Unit (Department):

Mathematical Sciences