Optimal execution with regime-switching market resilience
DOI10.1016/J.JEDC.2019.01.006zbMATH Open1411.91648OpenAlexW2914642177WikidataQ128421954 ScholiaQ128421954MaRDI QIDQ1734569FDOQ1734569
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
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Cites Work
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- Optimal Execution in a General One-Sided Limit-Order Book
- High-frequency trading in a limit order book
- Optimal execution strategies in limit order books with general shape functions
- Optimal trade execution: a mean quadratic variation approach
- Optimal trading with stochastic liquidity and volatility
- Dynamic trading policies with price impact
- Optimal liquidation under stochastic liquidity
- A Hamilton-Jacobi-Bellman approach to optimal trade execution
- Optimal trade execution and price manipulation in order books with time-varying liquidity
- Aggressive Orders and the Resiliency of a Limit Order Market*
- Learning, information processing and order submission in limit order markets
- Cross-impact and no-dynamic-arbitrage
- Resiliency of the limit order book
- How should a local regime-switching model be calibrated?
- Market-making strategy with asymmetric information and regime-switching
- Optimal trade execution with instantaneous price impact and stochastic resilience
Cited In (9)
- Dynamic trading with Markov liquidity switching
- Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
- Optimal execution with stochastic delay
- 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
- Optimal trading with signals and stochastic price impact
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