Liquidation with self-exciting price impact
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Publication:253113
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
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Cites Work
- Dynamic optimal execution in a mixed-market-impact Hawkes price model
- Mean-variance optimal adaptive execution
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Dynamic portfolio choice with frictions
- Optimal Liquidity Trading*
- Drift dependence of optimal trade execution strategies under transient price impact
- 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
- Price Manipulation and Quasi-Arbitrage
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
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