RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY
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Publication:2862513
DOI10.1142/S0219024913500374zbMath1295.91047OpenAlexW3125045500WikidataQ57635893 ScholiaQ57635893MaRDI QIDQ2862513
Alexandre F. Roch, Halil Mete Soner
Publication date: 15 November 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024913500374
Statistical methods; risk measures (91G70) Microeconomic theory (price theory and economic markets) (91B24)
Related Items (13)
HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS ⋮ Utility maximization in an illiquid market in continuous time ⋮ Scaling limits for super-replication with transient price impact ⋮ Optimal investment, derivative demand, and arbitrage under price impact ⋮ Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case ⋮ Approximation and comparison of the empirical liquidity cost function for various futures contracts ⋮ Price manipulation in a market impact model with dark pool ⋮ Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies ⋮ Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios ⋮ Nonconcave robust optimization with discrete strategies under Knightian uncertainty ⋮ Liquidity risk and the term structure of interest rates ⋮ OPTIMAL EXECUTION COST FOR LIQUIDATION THROUGH A LIMIT ORDER MARKET ⋮ Optimal Investment with Transient Price Impact
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