Order book resilience, price manipulation, and the positive portfolio problem
DOI10.1137/110822098zbMATH Open1255.91412OpenAlexW3121488946MaRDI QIDQ4902224FDOQ4902224
Authors: Aurélien Alfonsi, Alexander Schied, Alla Slynko 
Publication date: 25 January 2013
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/110822098
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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)
Cited In (45)
- Dynamic optimal execution in a mixed-market-impact Hawkes price model
- 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
- Optimal liquidation and adverse selection in dark pools
- On the minimizers of energy forms with completely monotone kernel
- 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
- A class of optimal portfolio liquidation problems with a linear decreasing impact
- 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
- A characterisation of cross-impact kernels
- An optimal execution problem with market impact
- 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
- Discrete-time optimal execution under a generalized price impact model with markovian exogenous orders
- Spoofing the limit order book: a strategic agent-based analysis
- Mean-field liquidation games with market drop-out
- Dynamic equilibrium limit order book model and optimal execution problem
- Optimal execution with dynamic order flow imbalance
- General intensity shapes in optimal liquidation
- Optimal asset liquidation with multiplicative transient price impact
- 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
- Optimal liquidation in dark pools
- Probabilistic aspects of finance
- 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
- Finite horizon optimal execution with bounded rate of transaction
- Optimal placement in a limit order book: an analytical approach
- Instabilities in multi-asset and multi-agent market impact games
- Hedging with physical or cash settlement under transient multiplicative price impact
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