Liquidation with self-exciting price impact

DOI10.1007/s11579-015-0148-2zbMath1404.91242OpenAlexW3126085088MaRDI QIDQ253113

Johannes Muhle-Karbe, Thomas Cayé

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

risk aversionoptimal liquidationprice impactself-excitement

Mathematics Subject Classification ID

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

Related Items

Portfolio liquidation games with self‐exciting order flow, A class of optimal liquidation problem with a nonlinear temporary market impact, Scaling limits of processes with fast nonlinear mean reversion

Cites Work

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