Optimal execution in high-frequency trading with Bayesian learning (Q1619842): Difference between revisions

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+Portfolio choice under transitory price impact
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+An analysis of price impact function in order-driven markets
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+Simple stochastic order-book model of swarm behavior in continuous double auction
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+Optimal Execution in a General One-Sided Limit-Order Book
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+LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
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+Optimal order display in limit order markets with liquidity competition
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+High-frequency trading in a limit order book
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+Optimal Liquidity Trading*
@@ Property / cites work: Optimal Liquidity Trading* / rank @@
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+Mean–Variance Optimal Adaptive Execution
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+Anomalous waiting times in high-frequency financial data
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+The Long Memory of the Efficient Market
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+Price fluctuations from the order book perspective - empirical facts and a simple model
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+Institutional Investors and Stock Market Volatility
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+Order book approach to price impact
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