Nicholas Westray

Available identifiers

zbMath Open westray.nicholasMaRDI QIDQ429301

List of research outcomes

Publication	Date of Publication	Type
Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book	2024-01-31	Paper
Optimal execution in Hong Kong given a market-on-close benchmark	2018-11-14	Paper
Constrained nonsmooth utility maximization on the positive real line	2015-07-30	Paper
OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH	2015-07-15	Paper
Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization	2014-12-17	Paper
The stability of the constrained utility maximization problem: a BSDE approach	2014-01-23	Paper
Curve following in illiquid markets	2013-01-20	Paper
44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010	2012-08-29	Paper
BSDEs in utility maximization with BMO market price of risk	2012-06-19	Paper
44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010	2012-02-01	Paper
Convergence in the Semimartingale Topology and Constrained Portfolios	2011-03-30	Paper
Constrained nonsmooth utility maximization without quadratic inf convolution	2009-05-06	Paper

Research outcomes over time

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