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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- 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
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- Cross-sectional variation of intraday liquidity, cross-impact, and their effect on portfolio execution
- 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
- Trading foreign exchange triplets
- The value of tradeability
- Optimal execution with weighted impact functions: a quadratic programming approach
- Illiquidity, position limits, and optimal investment for mutual funds
- 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
- Optimal liquidation in dark pools
- Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
- Are trading invariants really invariant? Trading costs matter
- 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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