Optimal trading with stochastic liquidity and volatility
From MaRDI portal
(Redirected from Publication:4902209)
Recommendations
Cited in
(69)- Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions
- Optimal liquidation under stochastic liquidity
- Optimal execution with regime-switching market resilience
- Incorporating signals into optimal trading
- Asymptotic approach for backward stochastic differential equation with singular terminal condition
- Generalized optimal liquidation problems across multiple trading venues
- Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
- A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
- Optimal portfolio execution problem with stochastic price impact
- Optimal dynamic basis trading
- Trading strategies generated by Lyapunov functions
- An explicit optimal strategy for flow trades at NASDAQ around its close
- Convergence of the embedded mean-variance optimal points with discrete sampling
- An FBSDE approach to market impact games with stochastic parameters
- A two-player portfolio tracking game
- Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy
- Optimal trading strategy under disordered asset return and Knightian uncertainty
- Optimal portfolio liquidation in target zone models and catalytic superprocesses
- Mean-variance optimal adaptive execution
- Optimal trade execution: a mean quadratic variation approach
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Optimal Liquidity Trading*
- Optimal execution with dynamic order flow imbalance
- A control problem with fuel constraint and Dawson-Watanabe superprocesses
- scientific article; zbMATH DE number 686947 (Why is no real title available?)
- Optimal execution in Hong Kong given a market-on-close benchmark
- Optimal execution with uncertain order fills in Almgren-Chriss framework
- Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
- Optimal trade execution under stochastic volatility and liquidity
- Optimal liquidation under stochastic price impact
- Optimal execution and block trade pricing: a general framework
- Optimal trade execution in an order book model with stochastic liquidity parameters
- The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
- Latency and liquidity risk
- Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
- Optimal solution of the liquidation problem under execution and price impact risks
- Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
- Optimal liquidity-based trading tactics
- Optimal trading with signals and stochastic price impact
- MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH
- OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
- General intensity shapes in optimal liquidation
- Optimal execution of a VWAP order: a stochastic control approach
- scientific article; zbMATH DE number 5584697 (Why is no real title available?)
- Optimal trade execution in order books with stochastic liquidity
- Optimal split of orders across liquidity pools: a stochastic algorithm approach
- Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
- 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
- Optimal initial coin offering under speculative token trading
- Accelerated Share Repurchases Under Stochastic Volatility
- Optimal liquidation through a limit order book: a neural network and simulation approach
- Optimal Execution with Quadratic Variation Inventories
- An optimal trading rule of a mean-reverting asset
- A note on the dynamic liquidity trading problem with a mean-variance objective
- Optimal liquidation with dynamic parameter updating: a forward approach
- Optimal trading and competition with information in the price impact model
- Continuity problem for BSDE and IPDE with singular terminal condition
- Decentralised finance and automated market making: execution and speculation
- Long time behavior of optimal liquidation problems with semimartingale strategies and external flows
- Optimal liquidation with conditions on minimum price
- Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility
- Reinforcement learning for trade execution with market and limit orders
- Multi-asset optimal trade execution with stochastic cross-effects: an Obizhaeva-Wang-type framework
- Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
- Trading strategy with stochastic volatility in a limit order book market
This page was built for publication: Optimal trading with stochastic liquidity and volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4902209)
