Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
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Cited in
(58)- Optimal execution in high-frequency trading with Bayesian learning
- An algorithmic approach to optimal asset liquidation problems
- Optimal order display in limit order markets with liquidity competition
- Financial markets with a large trader
- A limit order book model for latency arbitrage
- Modeling uncertainty in limit order execution
- Order execution probability and order queue in limit order markets
- Characterising trader manipulation in a limit-order driven market
- Optimal liquidation problem in illiquid markets
- Monte Carlo methods via a dual approach for some discrete time stochastic control problems
- Optimal liquidity provision
- 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
- Liquidation in limit order books with controlled intensity
- 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
- When to cross the spread? Trading in two-sided limit order books
- Optimal trading strategies with limit orders
- Optimal Execution in a General One-Sided Limit-Order Book
- Limit order trading with a mean reverting reference price
- Multivariate transient price impact and matrix-valued positive definite functions
- Optimal execution with dynamic order flow imbalance
- Drift dependence of optimal trade execution strategies under transient price impact
- Optimal order placement in limit order markets
- An optimal execution problem with market impact
- Modelling Asset Prices for Algorithmic and High-Frequency Trading
- Optimal execution and price manipulations in time-varying limit order books
- Optimal execution with limit and market orders
- A fully consistent, minimal model for nonlinear market impact
- Order book resilience, price manipulation, and the positive portfolio problem
- Transient linear price impact and Fredholm integral equations
- Optimal trade execution in an order book model with stochastic liquidity parameters
- Equilibrium model of limit order books: a mean-field game view
- Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
- Optimal liquidity-based trading tactics
- On detecting spoofing strategies in high-frequency trading
- Spoofing and price manipulation in order-driven markets
- Optimal placement in a limit order book: an analytical approach
- Optimal execution strategies in limit order books with general shape functions
- Optimal liquidation in dark pools
- General intensity shapes in optimal liquidation
- Optimal portfolio execution under time-varying liquidity constraints
- Price manipulation in a market impact model with dark pool
- Optimal trade execution in order books with stochastic liquidity
- Mean-Field Game Strategies for Optimal Execution
- Optimal liquidation trajectories for the Almgren-Chriss model
- Optimal Execution: A Review
- Handbook of Price Impact Modeling
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
- Does the Prohibition of Trade-Through Hurt Liquidity Demanders?
- Stock repurchase with an adaptive reservation price: a study of the greedy policy
- Self-exciting price impact via negative resilience in stochastic order books
- Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
- Do price trajectory data increase the efficiency of market impact estimation?
- A model for optimal execution of atomic orders
- Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices
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