Optimal execution with regime-switching market resilience

DOI10.1016/J.JEDC.2019.01.006MaRDI QIDQ1734569zbMATH OpenOpenAlexWikidataFDO

Authors Chi Chung Siu, Ivan Guo, Song-Ping Zhu, Robert J. Elliott

Publication date 27 March 2019

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://unisa.alma.exlibrisgroup.com/view/delivery/61USOUTHAUS_INST/12177287050001831

zbMATH Keywords

limit order bookMarkov chainsoptimal execution problempermanent price impactstochastic market resiliencetemporary price impact

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99) Optimal stochastic control (93E20)

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Cites work

• A Hamilton-Jacobi-Bellman approach to optimal trade execution
• Aggressive Orders and the Resiliency of a Limit Order Market*
• Cross-impact and no-dynamic-arbitrage
• Dynamic trading policies with price impact
• High-frequency trading in a limit order book
• How should a local regime-switching model be calibrated?
• Learning, information processing and order submission in limit order markets
• Market-making strategy with asymmetric information and regime-switching
• Optimal Execution in a General One-Sided Limit-Order Book
• Optimal execution strategies in limit order books with general shape functions
• Optimal liquidation under stochastic liquidity
• Optimal trade execution and price manipulation in order books with time-varying liquidity
• Optimal trade execution with instantaneous price impact and stochastic resilience
• Optimal trade execution: a mean quadratic variation approach
• Optimal trading with stochastic liquidity and volatility
• Resiliency of the limit order book
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

Cited in

(9)

• Optimal trading with signals and stochastic price impact
• Dynamic trading with Markov liquidity switching
• Optimal execution with stochastic delay
• Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
• Optimal Execution with Identity Optionality
• Self-exciting price impact via negative resilience in stochastic order books
• A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
• Optimal portfolio execution problem with stochastic price impact
• Applying regression techniques in designing optimal trade execution strategy for an asset

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