Optimal Liquidity Trading*
From MaRDI portal
Publication:3374848
Recommendations
Cited in
(53)- Dynamic trading volume
- Liquidation with self-exciting price impact
- Optimal trade execution under jump diffusion process: a mean-VaR approach
- Rational quantitative trading in efficient markets
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS
- Implicit transaction costs and the fundamental theorems of asset pricing
- Last look
- Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy
- Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics
- Internalisation by electronic FX spot dealers
- Optimal execution in high-frequency trading with Bayesian learning
- Resilient price impact of trading and the cost of illiquidity
- Activism, strategic trading, and liquidity
- Optimal liquidation with dynamic parameter updating: a forward approach
- Optimal multi-asset trading with linear costs: a mean-field approach
- What is the optimal trading frequency in financial markets?
- Mean-variance optimal adaptive execution
- Transaction costs, trading volume, and the liquidity premium
- Liquidating illiquid collateral
- New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact
- Portfolio choice under transitory price impact
- Strategic trading in illiquid markets.
- An optimal execution problem with market impact
- Alternative trading
- A trade execution model under a composite dynamic coherent risk measure
- Optimal liquidity-based trading tactics
- Liquidity and Trading Dynamics
- Portfolio choice and pricing in illiquid markets
- Single asset optimal trading strategies with stochastic dominance constraints
- The cost of illiquidity and its effects on hedging
- Does the Prohibition of Trade-Through Hurt Liquidity Demanders?
- A note on the dynamic liquidity trading problem with a mean-variance objective
- Stock repurchase with an adaptive reservation price: a study of the greedy policy
- Optimal trading with stochastic liquidity and volatility
- Reduced form modeling of limit order markets
- Cross-sectional variation of intraday liquidity, cross-impact, and their effect on portfolio execution
- Maximal trades
- Illiquidity, position limits, and optimal investment for mutual funds
- The value of tradeability
- Optimal execution with weighted impact functions: a quadratic programming approach
- Trading foreign exchange triplets
- General intensity shapes in optimal liquidation
- Optimal order placement in limit order markets
- Optimal execution in a market with small investors
- Optimal liquidation under stochastic price impact
- Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
- Optimal liquidation in dark pools
- The impact of illiquidity on the asset management of insurance companies
- Optimal dynamic basis trading
- Are trading invariants really invariant? Trading costs matter
- Applying regression techniques in designing optimal trade execution strategy for an asset
- Efficient trading frontier: a shortage function approach
This page was built for publication: Optimal Liquidity Trading*
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3374848)
