Optimal trade execution under stochastic volatility and liquidity
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Publication:4586036
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Cites work
- A Hamilton-Jacobi-Bellman approach to optimal trade execution
- Capacitary measures for completely monotone kernels via singular control
- Mean-variance optimal adaptive execution
- Optimal basket liquidation for CARA investors is deterministic
- Optimal trade execution in illiquid markets
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Optimal trading with stochastic liquidity and volatility
- Transient linear price impact and Fredholm integral equations
Cited in
(37)- Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions
- Optimal liquidation under stochastic liquidity
- Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
- Optimal execution strategy with an endogenously determined sales period
- An explicit optimal strategy for flow trades at NASDAQ around its close
- Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy
- Optimal trade execution and price manipulation in order books with time-varying liquidity
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Optimal trade execution in illiquid markets
- Optimal Liquidity Trading*
- Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions
- scientific article; zbMATH DE number 686947 (Why is no real title available?)
- Optimal Execution of Derivatives: A Taylor Expansion Approach
- Liquidity costs: a new numerical methodology and an empirical study
- Optimal trading with stochastic liquidity and volatility
- Optimal trade execution in an order book model with stochastic liquidity parameters
- Optimal trade execution for Gaussian signals with power-law resilience
- Optimal trading with signals and stochastic price impact
- Optimal placement in a limit order book: an analytical approach
- Market making with minimum resting times
- Optimal Execution for Uncertain Market Impact: Derivation and Characterization of a Continuous-Time Value Function
- Optimal execution of a VWAP order: a stochastic control approach
- scientific article; zbMATH DE number 5584697 (Why is no real title available?)
- Optimal portfolio execution under time-varying liquidity constraints
- Optimal trade execution in order books with stochastic liquidity
- Optimal trade execution under price-sensitive risk preferences
- On Regularized Optimal Execution Problems and Their Singular Limits
- Optimal Execution: A Review
- Optimal Execution with Identity Optionality
- Optimal trading with transaction costs and short-term predictability
- Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics
- Accelerated Share Repurchases Under Stochastic Volatility
- Optimal Execution with Quadratic Variation Inventories
- Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
- Decentralised finance and automated market making: execution and speculation
- Reinforcement learning for trade execution with market and limit orders
- Multi-asset optimal trade execution with stochastic cross-effects: an Obizhaeva-Wang-type framework
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