Incorporating order-flow into optimal execution
From MaRDI portal
Recommendations
Cites work
- Algorithmic and high-frequency trading
- Algorithmic trading with learning
- Algorithmic trading with model uncertainty
- Buy Low, Sell High: A High Frequency Trading Perspective
- Dealing with the inventory risk: a solution to the market making problem
- Drift dependence of optimal trade execution strategies under transient price impact
- General intensity shapes in optimal liquidation
- High-frequency trading in a limit order book
- No-dynamic-arbitrage and market impact
- Optimal execution of a VWAP order: a stochastic control approach
- Optimal execution strategies in limit order books with general shape functions
- Optimal execution with dynamic order flow imbalance
- Optimal execution with limit and market orders
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal high-frequency trading with limit and market orders
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Risk metrics and fine tuning of high-frequency trading strategies
- Smooth solutions to portfolio liquidation problems under price-sensitive market impact
- Transient linear price impact and Fredholm integral equations
Cited in
(77)- Why is equity order flow so persistent?
- Optimal order execution using hidden orders
- Mean field game of controls and an application to trade crowding
- Incorporating signals into optimal trading
- Intraday renewable electricity trading: advanced modeling and numerical optimal control
- Reinforcement learning and stochastic optimisation
- Optimal execution with stochastic delay
- Negative selection -- a new performance measure for automated order execution
- Extensions of the deep Galerkin method
- A continuous and efficient fundamental price on the discrete order book grid
- Optimal pair-trade execution with generalized cross-impact
- A class of optimal liquidation problem with a nonlinear temporary market impact
- An explicit optimal strategy for flow trades at NASDAQ around its close
- Estimating the efficient price from the order flow: a Brownian Cox process approach
- Algorithmic trading with learning
- A closed-form execution strategy to target volume weighted average price
- Optimal Order Scheduling for Deterministic Liquidity Patterns
- Market making with alpha signals
- Optimal execution with dynamic order flow imbalance
- Optimal execution with uncertain order fills in Almgren-Chriss framework
- Execution in an aggregator
- Enhancing trading strategies with order book signals
- Algorithmic trading, stochastic control, and mutually exciting processes
- Optimal execution with limit and market orders
- Optimal liquidation under stochastic price impact
- Hedge and speculate: replicating option payoffs with limit and market orders
- Optimal trading with differing trade signals
- Mechanics of good trade execution in the framework of linear temporary market impact
- Learning a functional control for high-frequency finance
- Optimal cross-border electricity trading
- Liquidity fluctuations and the latent dynamics of price impact
- Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
- Optimal trade execution for Gaussian signals with power-law resilience
- Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
- Optimal liquidity-based trading tactics
- Double deep Q-learning for optimal execution
- Optimal trading with signals and stochastic price impact
- Optimal execution with rough path signatures
- Optimal and equilibrium execution strategies with generalized price impact
- Discrete-time optimal execution under a generalized price impact model with markovian exogenous orders
- Extended mean field control problems: stochastic maximum principle and transport perspective
- A semi-Markovian modeling of limit order markets
- Optimal portfolio execution under time-varying liquidity constraints
- Trading co-integrated assets with price impact
- Mean-Field Game Strategies for Optimal Execution
- Double-Execution Strategies Using Path Signatures
- On Regularized Optimal Execution Problems and Their Singular Limits
- Optimal Execution: A Review
- Optimal Execution with Identity Optionality
- A Mean-Field Game of Market-Making against Strategic Traders
- A discrete-time optimal execution problem with market prices subject to random environments
- Do fundamentals shape the price response? A critical assessment of linear impact models
- A data-driven deep learning approach for options market making
- Optimal Execution with Quadratic Variation Inventories
- Closed‐loop Nash competition for liquidity
- Optimal investment with a noisy signal of future stock prices
- Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations
- Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies
- Optimal trading and competition with information in the price impact model
- Recent developments in machine learning methods for stochastic control and games
- Optimal Trade Execution Strategy and Implementation with Deterministic Market Impact Parameters
- Decentralised finance and automated market making: execution and speculation
- Optimal liquidation with signals: the general propagator case
- Reinforcement Learning for Optimal Execution When Liquidity Is Time-Varying
- Trade Execution Games in a Markovian Environment
- When order execution meets informed trading
- Brokers and informed traders: dealing with toxic flow and extracting trading signals
- Optimal liquidation under indirect price impact with propagator
- Fast and slow optimal trading with exogenous information
- MFG-based trading model with information costs
- Unwinding stochastic order flow: when to warehouse trades
- Nash equilibrium between brokers and traders
- Reinforcement learning for trade execution with market and limit orders
- Statistical learning with sublinear regret of propagator models
- Optimal execution and speculation with trade signals
- Value-aware estimation of diffusion systems for continuous-time reinforcement learning: surrogate loss and financial applications
- A model for optimal execution of atomic orders
This page was built for publication: Incorporating order-flow into optimal execution
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q300846)
