Exercise on the optimal execution problem of Bertsimas and Lo Solve the optimization problem (6.2) directly by rewriting the objective function in a quadratic form of N 1 , N 2 , ..., N T . Use the...

Exercise on the optimal execution problem of Bertsimas and Lo Solve the optimization problem (6.2) directly by rewriting the objective function in a quadratic form of N 1 , N 2 , ..., N T . Use the NASDAQ ITCH data (from the book’s website) to calibrate a univariate point process for the bid-side trade intensity. Comment on the features of the fitted model.