Liquidation with self-exciting price impact (Q253113): Difference between revisions

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+https://doi.org/10.1007/s11579-015-0148-2
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+W3126085088
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+Dynamic optimal execution in a mixed-market-impact Hawkes price model
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+Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
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@@ Property / cites work @@
+Dynamic portfolio choice with frictions
@@ Property / cites work: Dynamic portfolio choice with frictions / rank @@
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+OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
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+Liquidity Models in Continuous and Discrete Time
@@ Property / cites work: Liquidity Models in Continuous and Discrete Time / rank @@
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+Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders
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+Price Manipulation and Quasi-Arbitrage
@@ Property / cites work: Price Manipulation and Quasi-Arbitrage / rank @@
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+Optimal Liquidity Trading*
@@ Property / cites work: Optimal Liquidity Trading* / rank @@
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+Drift dependence of optimal trade execution strategies under transient price impact
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+Mean–Variance Optimal Adaptive Execution
@@ Property / cites work: Mean–Variance Optimal Adaptive Execution / rank @@
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+Publication:253113