No-dynamic-arbitrage and market impact
From MaRDI portal
Publication:2786278
DOI10.1080/14697680903373692zbMath1194.91208OpenAlexW3125123194MaRDI QIDQ2786278
Publication date: 21 September 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903373692
stochastic volatilityvolatility surfacesstochastic jumpsoptions pricingvolatility modellingoptions volatilityvolatility smile fitting
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Queueing Dynamics and State Space Collapse in Fragmented Limit Order Book Markets, A central bank strategy for defending a currency peg, OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT, Why is equity order flow so persistent?, Optimal portfolio liquidation in target zone models and catalytic superprocesses, Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis, Incorporating order-flow into optimal execution, Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs, Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions, Optimal execution with non-linear transient market impact, Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics, OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY, OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISK-AVERSE INVESTOR, How to build a cross-impact model from first principles: theoretical requirements and empirical results, Optimal pair-trade execution with generalized cross-impact, Probabilistic aspects of finance, Drift dependence of optimal trade execution strategies under transient price impact, Transaction cost analytics for corporate bonds, On detecting spoofing strategies in high-frequency trading, Derivatives pricing with market impact and limit order book, An FBSDE approach to market impact games with stochastic parameters, Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions, Optimal Execution and Price Manipulations in Time-varying Limit Order Books, Optimal Execution with Identity Optionality, Strategic Execution Trajectories, Portfolio liquidation games with self‐exciting order flow, Algorithmic market making in dealer markets with hedging and market impact, Reverse stress testing: Scenario design for macroprudential stress tests, A characterisation of cross-impact kernels, Do fundamentals shape the price response? A critical assessment of linear impact models, Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact, Financial markets with a large trader, High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact, Optimal accelerated share repurchases, Price manipulation in a market impact model with dark pool, An optimal execution problem with market impact, Market impact with multi-timescale liquidity, A class of optimal liquidation problem with a nonlinear temporary market impact, Regularized stochastic dual dynamic programming for convex nonlinear optimization problems, Cross-impact and no-dynamic-arbitrage, Dynamic portfolio management with views at multiple horizons, Stochastic differential game in high frequency market, OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK, TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS, Optimal liquidation problem in illiquid markets, DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS, A class of optimal portfolio liquidation problems with a linear decreasing impact, On the minimizers of energy forms with completely monotone kernel, Gaussian process-based algorithmic trading strategy identification, A fully consistent, minimal model for non-linear market impact, Market impact as anticipation of the order flow imbalance, Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders, Adaptive Execution: Exploration and Learning of Price Impact, Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters, PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES, A Market Impact Game Under Transient Price Impact, Reinforcement learning and stochastic optimisation, Finite horizon optimal execution with bounded rate of transaction, Hawkes model for price and trades high-frequency dynamics, Optimal liquidation in dark pools, Optimal Execution with Multiplicative Price Impact, OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL, ACCELERATED SHARE REPURCHASE: PRICING AND EXECUTION STRATEGY, RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY, Price formation and optimal trading in intraday electricity markets, GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION, OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH, Limit order books, How efficiency shapes market impact, Dynamic optimal execution in a mixed-market-impact Hawkes price model, Optimal Execution: A Review
Cites Work
- Order book approach to price impact
- Optimal execution strategies in limit order books with general shape functions
- Price Manipulation and Quasi-Arbitrage
- Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
- Random walks, liquidity molasses and critical response in financial markets