Optimal order execution under price impact: a hybrid model

DOI10.1007/S10479-022-05082-8zbMATH Open1537.91298MaRDI QIDQ6549607FDOQ6549607

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)

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zbMATH Keywords

price impactstochastic optimal controloptimal executioninventory costorder fill uncertainty

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• SOLVABLE AFFINE TERM STRUCTURE MODELS
• High-frequency trading in a limit order book
• A multifactor volatility Heston model
• Fluctuations and response in financial markets: the subtle nature of `random' price changes
• Continuous Auctions and Insider Trading
• Optimal trade execution: a mean quadratic variation approach
• Dealing with the inventory risk: a solution to the market making problem
• A persistence-based Wold-type decomposition for stationary time series
• Optimal trade execution with instantaneous price impact and stochastic resilience
• Optimal execution with uncertain order fills in Almgren-Chriss framework
• The self-financing equation in limit order book markets
• Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
• Optimal Execution with Quadratic Variation Inventories

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