OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY (Q2927946): Difference between revisions

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+Optimal execution strategies in limit order books with general shape functions
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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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+A Stochastic Model for Order Book Dynamics
@@ Property / cites work: A Stochastic Model for Order Book Dynamics / rank @@
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+No-dynamic-arbitrage and market impact
@@ Property / cites work: No-dynamic-arbitrage and market impact / rank @@
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+TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
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+Price Manipulation and Quasi-Arbitrage
@@ Property / cites work: Price Manipulation and Quasi-Arbitrage / rank @@
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+Continuous Auctions and Insider Trading
@@ Property / cites work: Continuous Auctions and Insider Trading / rank @@
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+TENOR SPECIFIC PRICING
@@ Property / cites work: TENOR SPECIFIC PRICING / rank @@
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+Curve following in illiquid markets
@@ Property / cites work: Curve following in illiquid markets / rank @@
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+Optimal Execution in a General One-Sided Limit-Order Book
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