Optimal Execution in a General One-Sided Limit-Order Book

DOI10.1137/10078534XzbMATH Open1222.91062MaRDI QIDQ2996522FDOQ2996522

Authors: Silviu Predoiu, Gennady Shaikhet, Steven Shreve

Publication date: 2 May 2011

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

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price impact optimal execution limit-order book

Convex programming (90C25) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cited In (62)

Dynamic optimal execution in a mixed-market-impact Hawkes price model
Optimal trade execution in order books with stochastic liquidity
Drift dependence of optimal trade execution strategies under transient price impact
Optimal control of ultradiffusion processes with application to mathematical finance
Optimal execution strategies in limit order books with general shape functions
Equilibrium effects of intraday order-splitting benchmarks
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
Market making and portfolio liquidation under uncertainty
Optimal execution with regime-switching market resilience
Endogenous formation of limit order books: dynamics between trades
Order execution probability and order queue in limit order markets
The order book as a queueing system: average depth and influence of the size of limit orders
Continuous time trading of a small investor in a limit order market
Mean-Field Game Strategies for Optimal Execution
Optimal investment with transient price impact
Optimal execution in high-frequency trading with Bayesian learning
Optimal portfolios of a small investor in a limit order market: a shadow price approach
Optimal execution with limit and market orders
A discrete-time optimal execution problem with market prices subject to random environments
Optimal execution with non-linear transient market impact
Optimization of stock trading with additional information by limit order book
Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
A model for optimal execution of atomic orders
Optimal trade execution in an order book model with stochastic liquidity parameters
High-frequency limit of Nash equilibria in a market impact game with transient price impact
Optimal liquidation problem in illiquid markets
Hedging with temporary price impact
Optimal trade execution and price manipulation in order books with time-varying liquidity
An optimal execution problem with market impact
A bidding game with heterogeneous players
High frequency trading strategies, market fragility and price spikes: an agent based model perspective
Equilibrium model of limit order books: a mean-field game view
Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
Optimal execution and price manipulations in time-varying limit order books
A market impact game under transient price impact
Strategic Execution Trajectories
Optimal posting price of limit orders: learning by trading
Dynamic equilibrium limit order book model and optimal execution problem
Scaling limits for super-replication with transient price impact
Pricing European options in a discrete time model for the limit order book
General intensity shapes in optimal liquidation
Optimal asset liquidation with multiplicative transient price impact
Optimal liquidation under stochastic liquidity
Optimal order placement in limit order markets
Optimal trading of algorithmic orders in a liquidity fragmented market place
Optimal accelerated share repurchases
Continuous-time duality for superreplication with transient price impact
Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact
Optimal execution with multiplicative price impact
Multivariate transient price impact and matrix-valued positive definite functions
Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
Optimal liquidation in a limit order book for a risk-averse investor
Optimal investment in an illiquid market with search frictions and transaction costs
Finite horizon optimal execution with bounded rate of transaction
Optimal placement in a limit order book: an analytical approach
A semi-Markovian modeling of limit order markets
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies
Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
Optimal Execution: A Review
Title not available (Why is that?)
Hedging with physical or cash settlement under transient multiplicative price impact

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