OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT (Q4631694): Difference between revisions

@@ Property / arXiv ID @@
+.04170
@@ Property / arXiv ID: 1804.04170 / rank @@
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@@ Property / cites work @@
+Optimal execution strategies in limit order books with general shape functions
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@@ Property / cites work @@
+Optimal execution with nonlinear impact functions and trading-enhanced risk
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@@ Property / cites work @@
+Optimal Trading with Stochastic Liquidity and Volatility
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@@ Property / cites work @@
+Algorithmic Trading with Model Uncertainty
@@ Property / cites work: Algorithmic Trading with Model Uncertainty / rank @@
+Normal rank
@@ Property / cites work @@
+RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES
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@@ Property / cites work @@
+Incorporating order-flow into optimal execution
@@ Property / cites work: Incorporating order-flow into optimal execution / rank @@
+Normal rank
@@ Property / cites work @@
+Q5263525
@@ Property / cites work: Q5263525 / rank @@
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
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@@ Property / cites work @@
+Analytical approximations of non-linear SDEs of McKean-Vlasov type
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@@ Property / cites work @@
+Optimal Liquidity Trading*
@@ Property / cites work: Optimal Liquidity Trading* / rank @@
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@@ Property / cites work @@
+INDIFFERENCE PRICES AND IMPLIED VOLATILITIES
@@ Property / cites work: INDIFFERENCE PRICES AND IMPLIED VOLATILITIES / rank @@
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@@ Property / cites work @@
+Analytical Expansions for Parabolic Equations
@@ Property / cites work: Analytical Expansions for Parabolic Equations / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio
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@@ Property / cites work @@
+Analytical approximation of the transition density in a local volatility model
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@@ Property / cites work @@
+Intrinsic expansions for averaged diffusion processes
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@@ Property / cites work @@
+Continuous-time stochastic control and optimization with financial applications
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@@ Property / OpenAlex ID @@
+W2963091401
@@ Property / OpenAlex ID: W2963091401 / rank @@
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@@ Property / Wikidata QID @@
+Q129035216
@@ Property / Wikidata QID: Q129035216 / rank @@
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