Optimal trade execution under endogenous order flow

DOI10.1287/OPRE.2023.0151MaRDI QIDQ6856973zbMATH OpenFDO

Authors Ulrich Horst, Hoang Hai Tran, Ying Chen

Publication date 18 February 2026

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/OPRE.2023.0151

zbMATH Keywords

Hawkes processliquidity riskoptimal trading strategyportfolio liquidation

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

This page was built for publication: Optimal trade execution under endogenous order flow

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6856973)