Optimal Trade Execution Strategy and Implementation with Deterministic Market Impact Parameters
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Cites work
- A Law of Large Numbers for Limit Order Books
- A mathematical approach to order book modeling
- A scaling limit for limit order books driven by Hawkes processes
- Buy Low, Sell High: A High Frequency Trading Perspective
- Continuous Auctions and Insider Trading
- Dealing with the inventory risk: a solution to the market making problem
- Dynamic optimal execution in a mixed-market-impact Hawkes price model
- Enhancing trading strategies with order book signals
- Fluctuations and response in financial markets: the subtle nature of `random' price changes
- General intensity shapes in optimal liquidation
- High-frequency trading in a limit order book
- Incorporating order-flow into optimal execution
- Incorporating signals into optimal trading
- Liquidity fluctuations and the latent dynamics of price impact
- Market impact as anticipation of the order flow imbalance
- Maximum likelihood estimation of Hawkes' self-exciting point processes
- Modelling microstructure noise with mutually exciting point processes
- Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
- On Lewis' simulation method for point processes
- Optimal Liquidity Trading*
- Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
- Optimal execution with limit and market orders
- Optimal execution with stochastic delay
- Optimal order display in limit order markets with liquidity competition
- Optimal trade execution for Gaussian signals with power-law resilience
- Optimal trade execution with instantaneous price impact and stochastic resilience
- Optimal trading with signals and stochastic price impact
- Price Impact Without Averaging
- Price dynamics in a Markovian limit order market
- Simulating and analyzing order book data: the queue-reactive model
- State-dependent Hawkes processes and their application to limit order book modelling
- The microstructural foundations of leverage effect and rough volatility
- The microstructure of stochastic volatility models with self-exciting jump dynamics
- Transient linear price impact and Fredholm integral equations
- When to cross the spread? Trading in two-sided limit order books
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