Order book resilience, price manipulation, and the positive portfolio problem
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Publication:4902224
market impact modelpositive definite functiontransient price impactprice manipulationoptimal order executionBochner formno short sales in Markowitz portfoliotrans-action-triggered price manipulation
Auctions, bargaining, bidding and selling, and other market models (91B26) Quadratic and bilinear forms, inner products (15A63) Microeconomic theory (price theory and economic markets) (91B24) Interest rates, asset pricing, etc. (stochastic models) (91G30) Positive definite functions in one variable harmonic analysis (42A82)
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(45)- Dynamic optimal execution in a mixed-market-impact Hawkes price model
- Hedging with physical or cash settlement under transient multiplicative price impact
- Drift dependence of optimal trade execution strategies under transient price impact
- Price Manipulation and Quasi-Arbitrage
- Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
- Weierstrass bridges
- The self-financing equation in limit order book markets
- Optimal position targeting via decoupling fields
- Do price trajectory data increase the efficiency of market impact estimation?
- Optimal execution with non-linear transient market impact
- A fully consistent, minimal model for nonlinear market impact
- On the minimizers of energy forms with completely monotone kernel
- Optimal liquidation and adverse selection in dark pools
- A class of optimal portfolio liquidation problems with a linear decreasing impact
- Optimal trade execution in an order book model with stochastic liquidity parameters
- Optimal liquidation trajectories for the Almgren-Chriss model
- Portfolio liquidation games with self‐exciting order flow
- Transient linear price impact and Fredholm integral equations
- High-frequency limit of Nash equilibria in a market impact game with transient price impact
- Cross-impact and no-dynamic-arbitrage
- Optimal trade execution and price manipulation in order books with time-varying liquidity
- An optimal execution problem with market impact
- A characterisation of cross-impact kernels
- Equilibrium model of limit order books: a mean-field game view
- Optimal execution and price manipulations in time-varying limit order books
- A market impact game under transient price impact
- Spoofing the limit order book: a strategic agent-based analysis
- Discrete-time optimal execution under a generalized price impact model with markovian exogenous orders
- Mean-field liquidation games with market drop-out
- Dynamic equilibrium limit order book model and optimal execution problem
- Optimal asset liquidation with multiplicative transient price impact
- Optimal execution with dynamic order flow imbalance
- General intensity shapes in optimal liquidation
- Incorporating signals into optimal trading
- Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact
- Optimal execution with multiplicative price impact
- Multivariate transient price impact and matrix-valued positive definite functions
- Probabilistic aspects of finance
- Optimal liquidation in dark pools
- Price manipulation in a market impact model with dark pool
- Optimal liquidation in a limit order book for a risk-averse investor
- Accelerated share repurchase: pricing and execution strategy
- Optimal placement in a limit order book: an analytical approach
- Finite horizon optimal execution with bounded rate of transaction
- Instabilities in multi-asset and multi-agent market impact games
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