Nicholas Westray

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book Mathematical Finance	2024-01-31	Paper
Optimal execution in Hong Kong given a market-on-close benchmark Quantitative Finance	2018-11-14	Paper
Constrained nonsmooth utility maximization on the positive real line Mathematical Control and Related Fields	2015-07-30	Paper
Optimal execution of a VWAP order: a stochastic control approach Mathematical Finance	2015-07-15	Paper
Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization Finance and Stochastics	2014-12-17	Paper
The stability of the constrained utility maximization problem: a BSDE approach SIAM Journal on Financial Mathematics	2014-01-23	Paper
Curve following in illiquid markets Mathematics and Financial Economics	2013-01-20	Paper
Quadratic semimartingale BSDEs under an exponential moments condition Lecture Notes in Mathematics	2012-08-29	Paper
BSDEs in utility maximization with BMO market price of risk Stochastic Processes and their Applications	2012-06-19	Paper
Convergence in the Semimartingale Topology and Constrained Portfolios Séminaire de Probabilités XLIII	2011-03-30	Paper
Constrained nonsmooth utility maximization without quadratic inf convolution Stochastic Processes and their Applications	2009-05-06	Paper

Research outcomes over time

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