Optimal Execution: A Review
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Cites work
- A central bank strategy for defending a currency peg
- A closed-form execution strategy to target volume weighted average price
- A market impact game under transient price impact
- A mean field game of optimal portfolio liquidation
- A two-player portfolio tracking game
- Algorithmic and high-frequency trading
- Algorithmic trading with model uncertainty
- Buy Low, Sell High: A High Frequency Trading Perspective
- Continuous-time stochastic control and optimization with financial applications
- Controlled Markov processes and viscosity solutions
- Dealing with the inventory risk: a solution to the market making problem
- Deep learning for limit order books
- Enhancing trading strategies with order book signals
- General intensity shapes in optimal liquidation
- Hedging nontradable risks with transaction costs and price impact
- Hedging with temporary price impact
- High-frequency trading in a limit order book
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- Incorporating order-flow into optimal execution
- Incorporating signals into optimal trading
- Liquidation in limit order books with controlled intensity
- Market making and portfolio liquidation under uncertainty
- Mean-Field Game Strategies for Optimal Execution
- Mean-field games with differing beliefs for algorithmic trading
- Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
- Multi-dimensional optimal trade execution under stochastic resilience
- No-dynamic-arbitrage and market impact
- Optimal control of trading algorithms: a general impulse control approach
- Optimal Execution for Uncertain Market Impact: Derivation and Characterization of a Continuous-Time Value Function
- Optimal Execution in a General One-Sided Limit-Order Book
- Optimal execution of a VWAP order: a stochastic control approach
- Optimal execution strategies in limit order books with general shape functions
- Optimal execution with limit and market orders
- Optimal execution with multiplicative price impact
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal high-frequency trading with limit and market orders
- Optimal investment with transient price impact
- Optimal liquidation under partial information with price impact
- Optimal liquidation under stochastic liquidity
- Optimal liquidation under stochastic price impact
- Optimal portfolio liquidation with limit orders
- Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
- Optimal stochastic control, stochastic target problems, and backward SDE.
- Optimal trade execution for Gaussian signals with power-law resilience
- Optimal trade execution in an order book model with stochastic liquidity parameters
- Optimal trade execution in order books with stochastic liquidity
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Optimal trade execution under stochastic volatility and liquidity
- Optimal trade execution with instantaneous price impact and stochastic resilience
- Optimal trading with differing trade signals
- Optimal trading with signals and stochastic price impact
- Optimal trading with stochastic liquidity and volatility
- Option pricing and hedging with execution costs and market impact
- OR forum: The cost of latency in high-frequency trading
- Portfolio choice with small temporary and transient price impact
- Portfolio liquidation under factor uncertainty
- Protecting pegged currency markets from speculative investors
- Risk metrics and fine tuning of high-frequency trading strategies
- The financial mathematics of market liquidity. From optimal execution to market making
- The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
- Trading algorithms with learning in latent alpha models
- Trading co-integrated assets with price impact
- Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact
- VWAP execution and guaranteed VWAP
Cited in
(12)- Optimal Execution of Derivatives: A Taylor Expansion Approach
- OPTIMAL EXECUTION HORIZON
- Optimal Execution with Identity Optionality
- Numerical analysis of an extended mean field game for harvesting common fishery resource
- Optimal trading and competition with information in the price impact model
- Decentralized finance and automated market making: predictable loss and optimal liquidity provision
- Consistent causal inference for high-dimensional time series
- A survey of rough volatility
- Decentralised finance and automated market making: execution and speculation
- When order execution meets informed trading
- Optimal liquidation under indirect price impact with propagator
- Short-termism and excessive risk taking in optimal execution with a target performance
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