Liquidation with self-exciting price impact

DOI10.1007/S11579-015-0148-2zbMATH Open1404.91242OpenAlexW3126085088MaRDI QIDQ253113FDOQ253113

Authors Thomas Cayé, Johannes Muhle-Karbe

Publication date 8 March 2016

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11579-015-0148-2

zbMATH Keywords

optimal liquidationprice impactrisk aversionself-excitement

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80)

Recommendations

• Optimal solution of the liquidation problem under execution and price impact risks
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Cites work

• Drift dependence of optimal trade execution strategies under transient price impact
• Dynamic optimal execution in a mixed-market-impact Hawkes price model
• Dynamic portfolio choice with frictions
• Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders
• Liquidity Models in Continuous and Discrete Time
• Mean-variance optimal adaptive execution
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• Optimal Liquidity Trading*
• Price Manipulation and Quasi-Arbitrage
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

Cited in

(4)

• Portfolio liquidation games with self‐exciting order flow
• Self-exciting price impact via negative resilience in stochastic order books
• Scaling limits of processes with fast nonlinear mean reversion
• A class of optimal liquidation problem with a nonlinear temporary market impact

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