Optimal execution of a VWAP order: a stochastic control approach
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Publication:5262522
DOI10.1111/MAFI.12048zbMATH Open1331.91163OpenAlexW1921068018MaRDI QIDQ5262522FDOQ5262522
Christoph Frei, Nicholas Westray
Publication date: 15 July 2015
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12048
Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
Cites Work
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- A parallel between Brownian bridges and gamma bridges
- No-dynamic-arbitrage and market impact
- Optimal Trading with Stochastic Liquidity and Volatility
- A Characterization of the Gamma Distribution
- Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
- Dam rain and cumulative gain
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- A PROBABILITY THEORY OF A DAM WITH A CONTINUOUS RELEASE
Cited In (16)
- Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint
- Equilibrium effects of intraday order-splitting benchmarks
- Optimal Execution: A Review
- Optimal trading and competition with information in the price impact model
- Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
- Incorporating order-flow into optimal execution
- Hedging with temporary price impact
- A closed-form execution strategy to target volume weighted average price
- Strategic Execution Trajectories
- Optimal execution in Hong Kong given a market-on-close benchmark
- VWAP execution as an optimal strategy
- Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume
- Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes
- A class of optimal liquidation problem with a nonlinear temporary market impact
- Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics
- Optimal solution of the liquidation problem under execution and price impact risks
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