Optimal Liquidity Trading*
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Publication:3374848
DOI10.1007/S10679-005-7591-5zbMATH Open1125.91387OpenAlexW1509716043MaRDI QIDQ3374848FDOQ3374848
Authors: Gur Huberman, Werner Stanzl 
Publication date: 23 February 2006
Published in: Review of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10679-005-7591-5
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- Optimal trade execution under jump diffusion process: a mean-VaR approach
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- SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS
- Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics
- Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy
- Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution
- Optimal execution in high-frequency trading with Bayesian learning
- Resilient price impact of trading and the cost of illiquidity
- Optimal liquidation with dynamic parameter updating: a forward approach
- OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT
- Mean-variance optimal adaptive execution
- GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
- New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact
- Transaction costs, trading volume, and the liquidity premium
- Liquidating illiquid collateral
- Portfolio choice under transitory price impact
- Strategic trading in illiquid markets.
- An optimal execution problem with market impact
- Alternative trading
- Liquidity and Trading Dynamics
- A trade execution model under a composite dynamic coherent risk measure
- 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
- Optimal trading with stochastic liquidity and volatility
- Reduced form modeling of limit order markets
- 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
- Maximal trades
- The value of tradeability
- Optimal execution with weighted impact functions: a quadratic programming approach
- Illiquidity, position limits, and optimal investment for mutual funds
- Optimal order placement in limit order markets
- Optimal execution in a market with small investors
- IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING
- Optimal liquidation in dark pools
- Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
- The impact of illiquidity on the asset management of insurance companies
- Optimal dynamic basis trading
- Applying regression techniques in designing optimal trade execution strategy for an asset
- Efficient trading frontier: a shortage function approach
- Dynamic trading volume
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