Optimal trading and competition with information in the price impact model
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Cites work
- A state-constrained differential game arising in optimal portfolio liquidation
- A stochastic multiple-leader Stackelberg model: analysis, computation, and application
- A two-player portfolio tracking game
- Algorithmic and high-frequency trading
- Closed‐loop Nash competition for liquidity
- Continuous Auctions and Insider Trading
- Enhancing trading strategies with order book signals
- Equilibrium price formation with a major player and its mean field limit
- Incorporating order-flow into optimal execution
- Incorporating signals into optimal trading
- Insider trading with temporary price impact
- Inventory Management for High-Frequency Trading with Imperfect Competition
- Mean-Field Game Strategies for Optimal Execution
- Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
- No-dynamic-arbitrage and market impact
- Optimal execution of a VWAP order: a stochastic control approach
- Optimal execution with dynamic order flow imbalance
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal Execution with Quadratic Variation Inventories
- Optimal execution with uncertain order fills in Almgren-Chriss framework
- Optimal Execution: A Review
- Optimal portfolio execution problem with stochastic price impact
- Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
- Optimal solution of the liquidation problem under execution and price impact risks
- Optimal trade execution for Gaussian signals with power-law resilience
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Optimal trade execution: a mean quadratic variation approach
- Optimal trading with differing trade signals
- Optimal trading with signals and stochastic price impact
- Optimal trading with stochastic liquidity and volatility
- Risk aversion, imperfect competition, and long-lived information
- Speculative trading in mean reverting markets
- Stackelberg versus Cournot: a differential game approach
- The financial mathematics of market liquidity. From optimal execution to market making
- Trading a mean-reverting asset: buy low and sell high
- Trading with the crowd
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