Optimal execution of a VWAP order: a stochastic control approach
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Publication:5262522
DOI10.1111/MAFI.12048zbMATH Open1331.91163OpenAlexW1921068018MaRDI QIDQ5262522FDOQ5262522
Authors: 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
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Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
Cites Work
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- A parallel between Brownian bridges and gamma bridges
- No-dynamic-arbitrage and market impact
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- 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 (29)
- Equilibrium effects of intraday order-splitting benchmarks
- Optimal execution with uncertain order fills in Almgren-Chriss framework
- Optimal Execution: A Review
- Optimal trade execution under stochastic volatility and liquidity
- Curve following in illiquid markets
- Optimal trading and competition with information in the price impact model
- Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
- Algorithmic trading, stochastic control, and mutually exciting processes
- Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
- Optimal algorithms for trading large positions
- Incorporating order-flow into optimal execution
- Hedging with temporary price impact
- VWAP execution and guaranteed VWAP
- A closed-form execution strategy to target volume weighted average price
- Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
- A Hamilton-Jacobi-Bellman approach to optimal trade execution
- Linear quadratic stochastic control problems with stochastic terminal constraint
- Strategic Execution Trajectories
- Optimal control of trading algorithms: a general impulse control approach
- Optimal execution in Hong Kong given a market-on-close benchmark
- Optimal split of orders across liquidity pools: a stochastic algorithm approach
- A sample-path approach to optimal position liquidation
- VWAP execution as an optimal strategy
- Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume
- A class of optimal liquidation problem with a nonlinear temporary market impact
- Optimization and statistical methods for high frequency finance
- Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk
- Optimal solution of the liquidation problem under execution and price impact risks
- An optimal execution problem in the volume-dependent Almgren-Chriss model
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