Optimal order execution under price impact: a hybrid model

DOI10.1007/S10479-022-05082-8MaRDI QIDQ6549607zbMATH OpenFDO

Authors Marina Di Giacinto, C. Tebaldi, Tai-Ho Wang

Publication date 4 June 2024

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10479-022-05082-8

zbMATH Keywords

inventory costoptimal executionorder fill uncertaintyprice impactstochastic optimal control

Mathematics Subject Classification ID

Financial markets (91G15) Optimal stochastic control (93E20)

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Cites work

• A multifactor volatility Heston model
• A persistence-based Wold-type decomposition for stationary time series
• Continuous Auctions and Insider Trading
• Dealing with the inventory risk: a solution to the market making problem
• Fluctuations and response in financial markets: the subtle nature of `random' price changes
• High-frequency trading in a limit order book
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Optimal Execution with Quadratic Variation Inventories
• Optimal execution with uncertain order fills in Almgren-Chriss framework
• Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
• Optimal trade execution with instantaneous price impact and stochastic resilience
• Optimal trade execution: a mean quadratic variation approach
• SOLVABLE AFFINE TERM STRUCTURE MODELS
• The self-financing equation in limit order book markets

Cited in

(4)

• Optimal smooth consumption and its trade-offs
• Relative entropy-regularized robust optimal order execution
• Reinforcement learning for trade execution with market and limit orders
• Optimal execution under price impact in a heterogeneous characteristic timescale

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