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