Optimal Execution in a General One-Sided Limit-Order Book
From MaRDI portal
Recommendations
- Optimal execution strategies in limit order books with general shape functions
- Optimal trade execution in order books with stochastic liquidity
- Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
- Optimal execution and price manipulations in time-varying limit order books
- Optimal execution with limit and market orders
- Optimal liquidation in a limit order book for a risk-averse investor
- Optimal trade execution in an order book model with stochastic liquidity parameters
- Dynamic equilibrium limit order book model and optimal execution problem
- Optimal order placement in limit order markets
- Optimal execution cost for liquidation through a limit order market
Cited in
(64)- Optimal execution in high-frequency trading with Bayesian learning
- Optimal asset liquidation with multiplicative transient price impact
- Optimal liquidation under stochastic liquidity
- Optimal execution with regime-switching market resilience
- Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
- Optimal portfolios of a small investor in a limit order market: a shadow price approach
- Scaling limits for super-replication with transient price impact
- Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact
- Order execution probability and order queue in limit order markets
- Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
- Optimal liquidation problem in illiquid markets
- A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
- Pricing European options in a discrete time model for the limit order book
- High frequency trading strategies, market fragility and price spikes: an agent based model perspective
- Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
- Continuous-time duality for superreplication with transient price impact
- Dynamic equilibrium limit order book model and optimal execution problem
- Optimal posting price of limit orders: learning by trading
- Continuous time trading of a small investor in a limit order market
- Dynamic optimal execution in a mixed-market-impact Hawkes price model
- Optimization of stock trading with additional information by limit order book
- Optimal investment in an illiquid market with search frictions and transaction costs
- Optimal trade execution and price manipulation in order books with time-varying liquidity
- Optimal liquidation in a limit order book for a risk-averse investor
- Multivariate transient price impact and matrix-valued positive definite functions
- Market making and portfolio liquidation under uncertainty
- Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
- Drift dependence of optimal trade execution strategies under transient price impact
- Optimal order placement in limit order markets
- Optimal execution with non-linear transient market impact
- An optimal execution problem with market impact
- Optimal execution and price manipulations in time-varying limit order books
- High-frequency limit of Nash equilibria in a market impact game with transient price impact
- Optimal accelerated share repurchases
- Optimal execution with limit and market orders
- Endogenous formation of limit order books: dynamics between trades
- The order book as a queueing system: average depth and influence of the size of limit orders
- A bidding game with heterogeneous players
- Optimal trading of algorithmic orders in a liquidity fragmented market place
- Optimal trade execution in an order book model with stochastic liquidity parameters
- Optimal investment with transient price impact
- Optimal control of ultradiffusion processes with application to mathematical finance
- Equilibrium model of limit order books: a mean-field game view
- scientific article; zbMATH DE number 7274135 (Why is no real title available?)
- Optimal placement in a limit order book: an analytical approach
- Hedging with temporary price impact
- Optimal execution strategies in limit order books with general shape functions
- 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
- A semi-Markovian modeling of limit order markets
- Optimal trade execution in order books with stochastic liquidity
- Mean-Field Game Strategies for Optimal Execution
- Optimal Execution: A Review
- Strategic Execution Trajectories
- A discrete-time optimal execution problem with market prices subject to random environments
- Hedging with physical or cash settlement under transient multiplicative price impact
- Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies
- Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
- Unified asymptotics for investment under illiquidity: transaction costs and search frictions
- Option Market Making with Hedging-Induced Market Impact
- Equilibrium effects of intraday order-splitting benchmarks
- A model for optimal execution of atomic orders
This page was built for publication: Optimal Execution in a General One-Sided Limit-Order Book
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2996522)
