Optimal trading strategies with limit orders
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Publication:2970320
DOI10.1142/S0219024917500054zbMATH Open1396.91671MaRDI QIDQ2970320FDOQ2970320
Authors: Rossella Agliardi, Ramazan Gençay 
Publication date: 30 March 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Cites Work
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Optimal portfolio liquidation with limit orders
- General intensity shapes in optimal liquidation
- Optimal high-frequency trading with limit and market orders
- Liquidation in limit order books with controlled intensity
- Optimal order placement in limit order markets
Cited In (26)
- Optimal high-frequency trading in a pro rata microstructure with predictive information
- Optimal inventory management and order book modeling
- A Leland model for delta hedging in central risk books
- Optimal decisions in a time priority queue
- Trading strategies within the edges of no-arbitrage
- Optimal Execution: A Review
- Optimal strategy for limit order book submissions in high frequency trading
- Hedge and speculate: replicating option payoffs with limit and market orders
- Optimal execution with limit and market orders
- Algorithmic trading in a microstructural limit order book model
- When to cross the spread? Trading in two-sided limit order books
- Optimal liquidity provision
- Optimization of stock trading with additional information by limit order book
- Optimal hedging through limit orders
- Limit order trading with a mean reverting reference price
- Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity
- Optimal high-frequency trading with limit and market orders
- Optimal liquidity-based trading tactics
- Combination trading with limit orders
- Optimal posting price of limit orders: learning by trading
- Enhancing trading strategies with order book signals
- Trading strategy with stochastic volatility in a limit order book market
- Optimal order placement in limit order markets
- High-frequency trading in a limit order book
- Market or limit orders?
- Optimal placement in a limit order book: an analytical approach
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