Some mathematical aspects of market impact modeling
DOI10.4171/072-1/8zbMATH Open1235.60084OpenAlexW4234241811MaRDI QIDQ3099673FDOQ3099673
Authors: Alexander Schied, Alla Slynko 
Publication date: 1 December 2011
Published in: EMS Series of Congress Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4171/072-1/8
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Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Linear systems in control theory (93C05) Nonlinear systems in control theory (93C10)
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- An optimal trading problem in intraday electricity markets
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- Handbook of Price Impact Modeling
- A limit order book model for latency arbitrage
- Liquidity-adjusted risk measures
- Dual representations for general multiple stopping problems
- Estimates of the horizon in mathematical models of marketing
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