Transient linear price impact and Fredholm integral equations
From MaRDI portal
Publication:4906522
Recommendations
- Optimal investment with transient price impact
- Drift dependence of optimal trade execution strategies under transient price impact
- Order book resilience, price manipulation, and the positive portfolio problem
- Optimal execution with non-linear transient market impact
- Optimal liquidation under stochastic price impact
Cites work
- scientific article; zbMATH DE number 5361721 (Why is no real title available?)
- scientific article; zbMATH DE number 3778410 (Why is no real title available?)
- scientific article; zbMATH DE number 3399629 (Why is no real title available?)
- No-dynamic-arbitrage and market impact
- Optimal execution strategies in limit order books with general shape functions
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
- Price Manipulation and Quasi-Arbitrage
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
Cited in
(61)- Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
- Incorporating signals into optimal trading
- A limit order book model for latency arbitrage
- On the minimizers of energy forms with completely monotone kernel
- Two price economic equilibria and financial market bid/ask prices
- Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact
- Continuous-time duality for superreplication with transient price impact
- A probabilistic weak formulation of mean field games and applications
- Dynamic equilibrium limit order book model and optimal execution problem
- Dynamic optimal execution in a mixed-market-impact Hawkes price model
- Algorithmic trading with learning
- Optimal trade execution and price manipulation in order books with time-varying liquidity
- Incorporating order-flow into optimal execution
- Multivariate transient price impact and matrix-valued positive definite functions
- Market making and portfolio liquidation under uncertainty
- A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
- Optimal execution with dynamic order flow imbalance
- Drift dependence of optimal trade execution strategies under transient price impact
- Optimal liquidation in a level-I limit order book for large-tick stocks
- Optimal execution with non-linear transient market impact
- Optimal decisions in a time priority queue
- Optimal execution and price manipulations in time-varying limit order books
- Optimal trade execution under stochastic volatility and liquidity
- High-frequency limit of Nash equilibria in a market impact game with transient price impact
- Algorithmic trading with model uncertainty
- Optimal accelerated share repurchases
- Optimal liquidation under stochastic price impact
- Optimal liquidation and adverse selection in dark pools
- Market impact as anticipation of the order flow imbalance
- Order book resilience, price manipulation, and the positive portfolio problem
- Optimal trade execution in an order book model with stochastic liquidity parameters
- 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
- Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
- Cross-sectional variation of intraday liquidity, cross-impact, and their effect on portfolio execution
- Optimal execution with rough path signatures
- MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH
- A market impact game under transient price impact
- Optimal execution with multiplicative price impact
- General intensity shapes in optimal liquidation
- Mean-Field Game Strategies for Optimal Execution
- On Regularized Optimal Execution Problems and Their Singular Limits
- Strategic Execution Trajectories
- Portfolio liquidation games with self‐exciting order flow
- Fourth-order trapezoid algorithm with four iterative schemes for nonlinear integral equations
- A discrete-time optimal execution problem with market prices subject to random environments
- Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
- Do price trajectory data increase the efficiency of market impact estimation?
- Mean-field liquidation games with market drop-out
- Optimal Trade Execution Strategy and Implementation with Deterministic Market Impact Parameters
- Efficient high-order algorithm for nonlinear functional mixed integral equations
- Optimal liquidation with signals: the general propagator case
- Optimal contracts for delegated order execution
- Reinforcement Learning for Optimal Execution When Liquidity Is Time-Varying
- The Mercer-Young theorem for matrix-valued kernels on separable metric spaces
- When order execution meets informed trading
- Unwinding stochastic order flow: when to warehouse trades
- Statistical learning with sublinear regret of propagator models
- Price formation in financial markets: a mean-field game perspective
- Nonharmonic Fourier series and sharp Bernstein type inequalities
This page was built for publication: Transient linear price impact and Fredholm integral equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4906522)
