Optimal Liquidity Trading*
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Publication:3374848
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Cited in
(53)- Reduced form modeling of limit order markets
- Dynamic trading volume
- The cost of illiquidity and its effects on hedging
- A note on the dynamic liquidity trading problem with a mean-variance objective
- Liquidating illiquid collateral
- Stock repurchase with an adaptive reservation price: a study of the greedy policy
- Strategic trading in illiquid markets.
- SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS
- Optimal execution in a market with small investors
- What is the optimal trading frequency in financial markets?
- Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy
- Rational quantitative trading in efficient markets
- Efficient trading frontier: a shortage function approach
- Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics
- Activism, strategic trading, and liquidity
- Portfolio choice and pricing in illiquid markets
- Optimal trade execution under jump diffusion process: a mean-VaR approach
- Optimal trading with stochastic liquidity and volatility
- Last look
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal liquidation under stochastic price impact
- Optimal execution in high-frequency trading with Bayesian learning
- Optimal liquidity-based trading tactics
- Trading foreign exchange triplets
- New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact
- Alternative trading
- Portfolio choice under transitory price impact
- Liquidation with self-exciting price impact
- Internalisation by electronic FX spot dealers
- Does the Prohibition of Trade-Through Hurt Liquidity Demanders?
- Optimal order placement in limit order markets
- Are trading invariants really invariant? Trading costs matter
- The value of tradeability
- Optimal execution with weighted impact functions: a quadratic programming approach
- Liquidity and Trading Dynamics
- Resilient price impact of trading and the cost of illiquidity
- Applying regression techniques in designing optimal trade execution strategy for an asset
- The impact of illiquidity on the asset management of insurance companies
- Mean-variance optimal adaptive execution
- Optimal multi-asset trading with linear costs: a mean-field approach
- Transaction costs, trading volume, and the liquidity premium
- Cross-sectional variation of intraday liquidity, cross-impact, and their effect on portfolio execution
- Single asset optimal trading strategies with stochastic dominance constraints
- Maximal trades
- A trade execution model under a composite dynamic coherent risk measure
- Optimal liquidation in dark pools
- Illiquidity, position limits, and optimal investment for mutual funds
- Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
- Optimal dynamic basis trading
- Implicit transaction costs and the fundamental theorems of asset pricing
- An optimal execution problem with market impact
- General intensity shapes in optimal liquidation
- Optimal liquidation with dynamic parameter updating: a forward approach
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