Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics (Q5071495): Difference between revisions

Latest revision as of 09:01, 30 July 2024

scientific article; zbMATH DE number 7511194

Language	Label	Description	Also known as
English	Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics	scientific article; zbMATH DE number 7511194

Statements

instance of

scholarly article

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title

Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics (English)

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SIAM Journal on Financial Mathematics

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publication date

21 April 2022

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full work available at URL

https://arxiv.org/abs/2103.13773

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zbMATH Keywords

optimal execution

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statistical arbitrage

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stochastic optimal control

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Riccati equations

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MaRDI profile type

MaRDI publication profile

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cites work

Q3534743

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Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models

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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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LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY

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Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty

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Trading co‐integrated assets with price impact

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Incorporating order-flow into optimal execution

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Q5263525

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Discrete and continuous time cointegration

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Optimal multi-asset trading with linear costs: a mean-field approach

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Optimal trade execution: a mean quadratic variation approach

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OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH

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A survey of nonsymmetric Riccati equations

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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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Optimal Execution and Block Trade Pricing: A General Framework

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Q2787919

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GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION

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Optimal Portfolio Liquidation with Limit Orders

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VWAP Execution and Guaranteed VWAP

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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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Q4039796

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Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach

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Incorporating signals into optimal trading

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Drift dependence of optimal trade execution strategies under transient price impact

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Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

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Optimal Basket Liquidation for CARA Investors is Deterministic

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Identifiers

zbMATH Open document ID

1486.49026

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DOI

10.1137/21M1407756

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
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+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 @@
+LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
+Normal rank
@@ Property / cites work @@
+Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
+Normal rank
@@ Property / cites work @@
+Trading co‐integrated assets with price impact
@@ Property / cites work: Trading co‐integrated assets with price impact / rank @@
+Normal rank
@@ 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 @@
+Discrete and continuous time cointegration
@@ Property / cites work: Discrete and continuous time cointegration / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal multi-asset trading with linear costs: a mean-field approach
+Normal rank
@@ Property / cites work @@
+Optimal trade execution: a mean quadratic variation approach
+Normal rank
@@ Property / cites work @@
+OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH
+Normal rank
@@ Property / cites work @@
+A survey of nonsymmetric Riccati equations
@@ Property / cites work: A survey of nonsymmetric Riccati equations / rank @@
+Normal rank
@@ Property / cites work @@
+No-dynamic-arbitrage and market impact
@@ Property / cites work: No-dynamic-arbitrage and market impact / rank @@
+Normal rank
@@ Property / cites work @@
+TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
+Normal rank
@@ Property / cites work @@
+Optimal Execution and Block Trade Pricing: A General Framework
+Normal rank
@@ Property / cites work @@
+Q2787919
@@ Property / cites work: Q2787919 / rank @@
+Normal rank
@@ Property / cites work @@
+GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
@@ Property / cites work: GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Portfolio Liquidation with Limit Orders
@@ Property / cites work: Optimal Portfolio Liquidation with Limit Orders / rank @@
+Normal rank
@@ Property / cites work @@
+VWAP Execution and Guaranteed VWAP
@@ Property / cites work: VWAP Execution and Guaranteed VWAP / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
+Normal rank
@@ Property / cites work @@
+Q4039796
@@ Property / cites work: Q4039796 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach
+Normal rank
@@ Property / cites work @@
+Incorporating signals into optimal trading
@@ Property / cites work: Incorporating signals into optimal trading / rank @@
+Normal rank
@@ Property / cites work @@
+Drift dependence of optimal trade execution strategies under transient price impact
+Normal rank
@@ Property / cites work @@
+Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
+Normal rank
@@ Property / cites work @@
+Optimal Basket Liquidation for CARA Investors is Deterministic
+Normal rank
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