Optimal Execution with Dynamic Order Flow Imbalance (Q3456840): Difference between revisions

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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 Trading with Stochastic Liquidity and Volatility
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+Optimal execution with nonlinear impact functions and trading-enhanced risk
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+OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
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+Q3549931
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+The self-financing equation in limit order book markets
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+Optimal execution with limit and market orders
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+Buy Low, Sell High: A High Frequency Trading Perspective
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+OPTIMAL EXECUTION HORIZON
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+How efficiency shapes market impact
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+OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
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+TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
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+Optimal Portfolio Liquidation with Limit Orders
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+Optimal high-frequency trading with limit and market orders
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+Mean–Variance Optimal Adaptive Execution
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+OR Forum—The Cost of Latency in High-Frequency Trading
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