Dynamic trading volume

DOI10.1111/MAFI.12099MaRDI QIDQ6497100zbMATH OpenFDO

Authors Paolo Guasoni, Marko H. Weber

Publication date 6 May 2024

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/MAFI.12099

zbMATH Keywords

liquiditylong-runportfolio choicetrading volume

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

Recommendations

• Optimal Liquidity Trading*
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Cites work

• A model for a large investor trading at market indifference prices. I: Single-period case
• A model for a large investor trading at market indifference prices. II: Continuous-time case.
• An equilibrium characterization of the term structure
• Continuous Auctions and Insider Trading
• scientific article; zbMATH DE number 3664138 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 1478492 (Why is no real title available?)
• Information, trade and common knowledge
• Liquidity risk and arbitrage pricing theory
• Optimal Liquidity Trading*
• Option hedging for small investors under liquidity costs
• Portfolio Selection with Transaction Costs
• Portfolio selection with transactions costs
• Portfolios and risk premia for the long run
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options and corporate liabilities
• Transaction costs, trading volume, and the liquidity premium

Cited in

(2)

• Dynamic mean-variance problem with frictions
• Unified asymptotics for investment under illiquidity: transaction costs and search frictions

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