Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters (Q4958393): Difference between revisions

@@ Property / author @@
-Mikhail A. Urusov
@@ Property / author: Mikhail A. Urusov / rank @@
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@@ Property / author @@
+Mikhail A. Urusov
@@ Property / author: Mikhail A. Urusov / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.05843
@@ Property / arXiv ID: 2006.05843 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Execution and Price Manipulations in Time-varying Limit Order Books
+Normal rank
@@ Property / cites work @@
+Q3534743
@@ Property / cites work: Q3534743 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal execution strategies in limit order books with general shape functions
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+Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
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+Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem
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+Optimal execution with nonlinear impact functions and trading-enhanced risk
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+Optimal Trading with Stochastic Liquidity and Volatility
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+Optimal position targeting via decoupling fields
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+BSDEs with Singular Terminal Condition and a Control Problem with Constraints
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+Optimal position targeting with stochastic linear-quadratic costs
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+Optimal Order Scheduling for Deterministic Liquidity Patterns
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+Hedging with temporary price impact
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+Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint
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+Optimal Investment with Transient Price Impact
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+Optimal asset liquidation with multiplicative transient price impact
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+Optimal liquidation under stochastic liquidity
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+Optimal Trade Execution Under Stochastic Volatility and Liquidity
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+A note on costs minimization with stochastic target constraints
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+OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY
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+Optimal trade execution in order books with stochastic liquidity
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@@ Property / cites work @@
+No-dynamic-arbitrage and market impact
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+TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
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+Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience
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+A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
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+Smooth solutions to portfolio liquidation problems under price-sensitive market impact
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+A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition
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+Multi-dimensional optimal trade execution under stochastic resilience
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+Price Manipulation and Quasi-Arbitrage
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+Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
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+Continuous Auctions and Insider Trading
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+Drift dependence of optimal trade execution strategies under transient price impact
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+Second-order BSDE under monotonicity condition and liquidation problem under uncertainty
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+Optimal Execution in a General One-Sided Limit-Order Book
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+Optimal Basket Liquidation for CARA Investors is Deterministic
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+Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
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@@ links / mardi / name / links / mardi / name @@
+Publication:4958393