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)

zbMATH Keywords

price impactstochastic optimal controloptimal executioninventory costorder fill uncertainty

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• 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
• Optimal Execution with Quadratic Variation Inventories
• Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
• Optimal execution with uncertain order fills in Almgren-Chriss framework
• 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

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