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Publication:3534743

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zbMath1154.91407MaRDI QIDQ3534743

Aurélien Alfonsi, Antje Fruth, Alexander Schied

Publication date: 4 November 2008

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

market impact model optimal portfolio liquidation liquidity risk call auction market order constrained trading strategies limit order book with resilience

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)

Related Items (20)

Adaptive basket liquidation ⋮ Equilibrium Model of Limit Order Books: A Mean-Field Game View ⋮ Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions ⋮ Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics ⋮ Optimal Execution and Price Manipulations in Time-varying Limit Order Books ⋮ Algorithmic trading for online portfolio selection under limited market liquidity ⋮ A discrete-time optimal execution problem with market prices subject to random environments ⋮ Stock repurchase with an adaptive reservation price: a study of the greedy policy ⋮ Optimal portfolio execution under time-varying liquidity constraints ⋮ Arbitrage and deflators in illiquid markets ⋮ SUPERHEDGING IN ILLIQUID MARKETS ⋮ Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models ⋮ TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS ⋮ Optimal liquidation problem in illiquid markets ⋮ Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters ⋮ A Market Impact Game Under Transient Price Impact ⋮ Finite horizon optimal execution with bounded rate of transaction ⋮ Optimal Execution with Multiplicative Price Impact ⋮ GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION ⋮ Dynamic equilibrium limit order book model and optimal execution problem

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