Optimal Decisions in a Time Priority Queue (Q4559471): Difference between revisions

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+Optimal execution strategies in limit order books with general shape functions
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+High-frequency trading in a limit order book
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+Optimal impulse control on an unbounded domain with nonlinear cost functions
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+Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
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+Q3355178
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+OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
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+Optimal Execution with Dynamic Order Flow Imbalance
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+Q3953613
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+Approximation schemes for monotone systems of nonlinear second order partial differential equations: convergence result and error estimate
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+RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES
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+Q5263525
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+Price Dynamics in a Markovian Limit Order Market
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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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+TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
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+Optimal Portfolio Liquidation with Limit Orders
@@ Property / cites work: Optimal Portfolio Liquidation with Limit Orders / rank @@
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+Optimal high-frequency trading with limit and market orders
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+Simulating and Analyzing Order Book Data: The Queue-Reactive Model
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+Limit theorems for nearly unstable Hawkes processes
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+Nonparametric Estimation from Incomplete Observations
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+Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
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