Transient linear price impact and Fredholm integral equations

DOI10.1111/J.1467-9965.2011.00478.XzbMATH Open1278.91061OpenAlexW1929167035MaRDI QIDQ4906522FDOQ4906522

Authors: Jim Gatheral, Alexander Schied, Alla Slynko

Publication date: 28 February 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00478.x

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market impact model Fredholm integral equation transient price impact price manipulation optimal order execution transaction-triggered price manipulation

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Fredholm integral equations (45B05)

Cites Work

Price Manipulation and Quasi-Arbitrage
Title not available (Why is that?)
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
No-dynamic-arbitrage and market impact
Title not available (Why is that?)
Optimal execution strategies in limit order books with general shape functions
Title not available (Why is that?)
Optimal execution with nonlinear impact functions and trading-enhanced risk
Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models

Cited In (50)

Dynamic optimal execution in a mixed-market-impact Hawkes price model
Drift dependence of optimal trade execution strategies under transient price impact
Optimal execution with rough path signatures
Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
Market making and portfolio liquidation under uncertainty
Mean-Field Game Strategies for Optimal Execution
Optimal decisions in a time priority queue
Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution
Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
On Regularized Optimal Execution Problems and Their Singular Limits
Optimal trade execution under stochastic volatility and liquidity
A discrete-time optimal execution problem with market prices subject to random environments
Do price trajectory data increase the efficiency of market impact estimation?
Optimal execution with non-linear transient market impact
A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL
Optimal liquidation and adverse selection in dark pools
On the minimizers of energy forms with completely monotone kernel
Incorporating order-flow into optimal execution
Portfolio liquidation games with self‐exciting order flow
Order book resilience, price manipulation, and the positive portfolio problem
Fourth-order trapezoid algorithm with four iterative schemes for nonlinear integral equations
MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH
High-frequency limit of Nash equilibria in a market impact game with transient price impact
Algorithmic trading with learning
Optimal trade execution and price manipulation in order books with time-varying liquidity
Optimal execution and price manipulations in time-varying limit order books
Optimal liquidation in a level-I limit order book for large-tick stocks
A market impact game under transient price impact
Market impact as anticipation of the order flow imbalance
Strategic Execution Trajectories
Mean-field liquidation games with market drop-out
Dynamic equilibrium limit order book model and optimal execution problem
A limit order book model for latency arbitrage
Optimal execution with dynamic order flow imbalance
General intensity shapes in optimal liquidation
Algorithmic trading with model uncertainty
Optimal accelerated share repurchases
Incorporating signals into optimal trading
Continuous-time duality for superreplication with transient price impact
Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact
Optimal execution with multiplicative price impact
Optimal liquidation under stochastic price impact
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
Multivariate transient price impact and matrix-valued positive definite functions
A probabilistic weak formulation of mean field games and applications
Price impact on term structure
Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics
Optimal trade execution for Gaussian signals with power-law resilience
Two price economic equilibria and financial market bid/ask prices
Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters

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