scientific article; zbMATH DE number 5361721
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Publication:3534743
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Cited in
(33)- Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
- Algorithmic trading for online portfolio selection under limited market liquidity
- Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
- Optimal liquidation problem in illiquid markets
- Optimal liquidity provision
- Dynamic equilibrium limit order book model and optimal execution problem
- Optimal execution cost for liquidation through a limit order market
- Resilient price impact of trading and the cost of illiquidity
- Adaptive basket liquidation
- Liquidation in limit order books with controlled intensity
- Optimal liquidation in a limit order book for a risk-averse investor
- Superhedging in illiquid markets
- Multivariate transient price impact and matrix-valued positive definite functions
- MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
- Optimal execution of time-constrained portfolio transactions
- Optimal execution and price manipulations in time-varying limit order books
- Arbitrage and deflators in illiquid markets
- Optimal portfolio liquidation with limit orders
- Transient linear price impact and Fredholm integral equations
- Optimal trade execution in an order book model with stochastic liquidity parameters
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- Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
- Inventory management in customised liquidity pools
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- Finite horizon optimal execution with bounded rate of transaction
- Optimal execution with multiplicative price impact
- General intensity shapes in optimal liquidation
- Optimal portfolio execution under time-varying liquidity constraints
- A discrete-time optimal execution problem with market prices subject to random environments
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