Optimal portfolio execution under time-varying liquidity constraints
From MaRDI portal
Publication:5373911
DOI10.1080/1350486X.2017.1405731zbMath1398.91536OpenAlexW2772095020MaRDI QIDQ5373911
Publication date: 6 April 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2017.1405731
convex programmingKarush-Kuhn-Tucker conditionsmarket impact modellimit order marketoptimal portfolio execution
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Incorporating order-flow into optimal execution
- An extension of Karmarkar's projective algorithm for convex quadratic programming
- More statistical properties of order books and price impact
- Dynamic pairs trading using the stochastic control approach
- ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS
- The price impact of order book events: market orders, limit orders and cancellations
- LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
- OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
- Analytical inversion of general tridiagonal matrices
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal Execution and Price Manipulations in Time-varying Limit Order Books
- Optimal Trade Execution Under Stochastic Volatility and Liquidity
- Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience
- Optimal execution with limit and market orders
- Optimal Portfolio Liquidation with Limit Orders
- Optimal execution strategies in limit order books with general shape functions
- Optimal trade execution in order books with stochastic liquidity
This page was built for publication: Optimal portfolio execution under time-varying liquidity constraints