Optimal execution with non-linear transient market impact (Q4555057): Difference between revisions

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+Capacitary Measures for Completely Monotone Kernels via Singular Control
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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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+Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
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+Random walks, liquidity molasses and critical response in financial markets
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+Statistical properties of stock order books: empirical results and models
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+Sparse and stable Markowitz portfolios
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+Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact
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+A fully consistent, minimal model for non-linear market impact
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+No-dynamic-arbitrage and market impact
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+TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
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+Price Manipulation and Quasi-Arbitrage
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+Stationarity Results for Generating Set Search for Linearly Constrained Optimization
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+Continuous Auctions and Insider Trading
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+Optimal Execution in a General One-Sided Limit-Order Book
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+Correlated and uncorrelated fitness landscapes and how to tell the difference
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