Optimal execution with stochastic delay

DOI10.1007/S00780-022-00491-WMaRDI QIDQ2111242zbMATH OpenOpenAlexFDO

Authors Álvaro Cartea, Leandro Sánchez-Betancourt

Publication date 28 December 2022

Published in Finance and Stochastics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00780-022-00491-w

zbMATH Keywords

high-frequency tradingalgorithmic tradinglatencystochastic delay

Mathematics Subject Classification ID

Financial markets (91G15) Optimal stochastic control (93E20)

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Cites work

• Algorithmic and high-frequency trading
• Buy Low, Sell High: A High Frequency Trading Perspective
• Controlled Markov processes and viscosity solutions
• Double-Execution Strategies Using Path Signatures
• Impulse control problem on finite horizon with execution delay
• Incorporating order-flow into optimal execution
• OR forum: The cost of latency in high-frequency trading
• Optimal execution and block trade pricing: a general framework
• Optimal execution strategies in limit order books with general shape functions
• Optimal execution with limit and market orders
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Optimal execution with rough path signatures
• Optimal high-frequency trading with limit and market orders
• Optimal liquidation under stochastic price impact
• Optimal market making in the presence of latency
• Optimal portfolio liquidation with limit orders
• Optimal stochastic impulse control with delayed reaction
• Optimal trade execution in illiquid markets
• Stochastic optimal control. The discrete time case
• The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
• The financial mathematics of market liquidity. From optimal execution to market making
• User’s guide to viscosity solutions of second order partial differential equations
• Weak dynamic programming principle for viscosity solutions

Cited in

(12)

• Double-Execution Strategies Using Path Signatures
• scientific article; zbMATH DE number 2065144 (Why is no real title available?)
• Optimal Execution with Identity Optionality
• Optimal Execution with Quadratic Variation Inventories
• OPTIMAL EXECUTION HORIZON
• Reducing transaction costs with low-latency trading algorithms
• Last look
• Execution in an aggregator
• A limit order book model for latency arbitrage
• Latency and liquidity risk
• Optimal market making in the presence of latency
• Foreign exchange markets with last look

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