Optimal execution with limit and market orders
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Cites work
- Accelerated share repurchase: pricing and execution strategy
- Algorithmic trading with learning
- Algorithmic trading with model uncertainty
- Buy Low, Sell High: A High Frequency Trading Perspective
- General intensity shapes in optimal liquidation
- Liquidation in limit order books with controlled intensity
- Modelling Asset Prices for Algorithmic and High-Frequency Trading
- Optimal accelerated share repurchases
- Optimal execution strategies in limit order books with general shape functions
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal high-frequency trading in a pro rata microstructure with predictive information
- Optimal high-frequency trading with limit and market orders
- Optimal portfolio liquidation with limit orders
- Optimal trade execution in illiquid markets
- Risk metrics and fine tuning of high-frequency trading strategies
Cited in
(42)- Combination trading with limit orders
- Optimal order execution using hidden orders
- Optimal order display in limit order markets with liquidity competition
- Incorporating signals into optimal trading
- Optimal portfolios of a small investor in a limit order market: a shadow price approach
- Optimal execution with stochastic delay
- Extensions of the deep Galerkin method
- A class of optimal liquidation problem with a nonlinear temporary market impact
- Optimal bookmaking
- Deep reinforcement learning for the optimal placement of cryptocurrency limit orders
- Market versus limit orders
- Optimal Execution in a General One-Sided Limit-Order Book
- Incorporating order-flow into optimal execution
- Optimal execution with dynamic order flow imbalance
- Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
- Optimal liquidation in a level-I limit order book for large-tick stocks
- Optimal order placement in limit order markets
- Trading strategies within the edges of no-arbitrage
- Algorithmic trading, stochastic control, and mutually exciting processes
- Endogenous formation of limit order books: dynamics between trades
- Hedge and speculate: replicating option payoffs with limit and market orders
- Market or limit orders?
- Optimal liquidity-based trading tactics
- Optimal execution with rough path signatures
- Spoofing and price manipulation in order-driven markets
- On measuring the cost of liquidity in the limit order book
- Optimal execution strategies in limit order books with general shape functions
- Hedge-fund management with liquidity constraint
- A semi-Markovian modeling of limit order markets
- Optimal portfolio execution under time-varying liquidity constraints
- Optimal Liquidation of Child Limit Orders
- On Regularized Optimal Execution Problems and Their Singular Limits
- Optimal Execution: A Review
- A Leland model for delta hedging in central risk books
- Optimal liquidation through a limit order book: a neural network and simulation approach
- Optimal Trade Execution Strategy and Implementation with Deterministic Market Impact Parameters
- Dynamic Inventory Management with Mean-Field Competition
- Deep limit order book forecasting: a microstructural guide
- Unwinding stochastic order flow: when to warehouse trades
- Reinforcement learning for trade execution with market and limit orders
- Option Market Making with Hedging-Induced Market Impact
- A model for optimal execution of atomic orders
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