Optimal execution with stochastic delay

DOI10.1007/S00780-022-00491-WzbMATH Open1505.91361OpenAlexW4312106760MaRDI QIDQ2111242FDOQ2111242

Authors: Álvaro Cartea, Leandro Sánchez-Betancourt 

Publication date: 28 December 2022

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

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

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zbMATH Keywords

high-frequency tradingalgorithmic tradinglatencystochastic delay

Mathematics Subject Classification ID

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

Cites Work

• Controlled Markov processes and viscosity solutions
• Weak dynamic programming principle for viscosity solutions
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• Optimal execution and block trade pricing: a general framework
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• Buy Low, Sell High: A High Frequency Trading Perspective
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• Optimal execution with limit and market orders
• Algorithmic and high-frequency trading
• Optimal high-frequency trading with limit and market orders
• Optimal liquidation under stochastic price impact
• Impulse control problem on finite horizon with execution delay
• Optimal stochastic impulse control with delayed reaction
• Optimal market making in the presence of latency
• OR forum: The cost of latency in high-frequency trading
• The financial mathematics of market liquidity. From optimal execution to market making
• The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
• Optimal execution with rough path signatures
• Double-Execution Strategies Using Path Signatures

Cited In (12)

• OPTIMAL EXECUTION HORIZON
• Last look
• Latency and liquidity risk
• Optimal Execution with Quadratic Variation Inventories
• Title not available (Why is that?)
• Optimal Execution with Identity Optionality
• Execution in an aggregator
• A limit order book model for latency arbitrage
• Reducing transaction costs with low-latency trading algorithms
• Optimal market making in the presence of latency
• Double-Execution Strategies Using Path Signatures
• Foreign exchange markets with last look

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