OPTIMAL EXECUTION HORIZON
DOI10.1111/MAFI.12045zbMATH Open1331.91161OpenAlexW2763785538MaRDI QIDQ5262523FDOQ5262523
Marcos López de Prado, Maureen O'Hara, David A. Easley
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.12045
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adverse selectionmarket microstructureliquidityVWAPprobability of informed tradingbrokerflow toxicityOEHVPIN
Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Microeconomic theory (price theory and economic markets) (91B24)
Cites Work
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
- OPTIMAL STOCK SELLING/BUYING STRATEGY WITH REFERENCE TO THE ULTIMATE AVERAGE
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Predicting Equity Liquidity
- A Hamilton-Jacobi-Bellman approach to optimal trade execution
- Optimal liquidation in dark pools
Cited In (2)
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