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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zbMATH Keywords

market impact modelFredholm integral equationtransient price impactprice manipulationoptimal order executiontransaction-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 (49)

• 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 Dynamic Order Flow Imbalance
• Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks
• Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
• Optimal Execution and Price Manipulations in Time-varying Limit Order Books
• Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions
• Mean-Field Game Strategies for Optimal Execution
• 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
• Algorithmic Trading with Model Uncertainty
• 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
• OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT
• A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL
• On the minimizers of energy forms with completely monotone kernel
• Incorporating order-flow into optimal execution
• GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
• 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 MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY
• MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH
• Algorithmic trading with learning
• Optimal Execution with Multiplicative Price Impact
• Optimal trade execution and price manipulation in order books with time-varying liquidity
• 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 Rough Path Signatures
• Optimal Decisions in a Time Priority Queue
• Optimal Trade Execution Under Stochastic Volatility and Liquidity
• 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 Signal-Adaptive Trading with Temporary and Transient Price Impact
• A probabilistic weak formulation of mean field games and applications
• Price impact on term structure
• OPTIMAL LIQUIDATION AND ADVERSE SELECTION IN DARK POOLS
• 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
• High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact
• Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters

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