Pages that link to "Item:Q4902209"

The following pages link to Optimal Trading with Stochastic Liquidity and Volatility (Q4902209):

Displaying 42 items.

• Optimal portfolio liquidation in target zone models and catalytic superprocesses (Q287674) (← links)
• Optimal trade execution: a mean quadratic variation approach (Q318882) (← links)
• Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach (Q322571) (← links)
• A control problem with fuel constraint and Dawson-Watanabe superprocesses (Q389072) (← links)
• Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting (Q737168) (← links)
• Trading strategy with stochastic volatility in a limit order book market (Q777935) (← links)
• Optimal liquidation under stochastic liquidity (Q1691443) (← links)
• Optimal execution with regime-switching market resilience (Q1734569) (← links)
• Incorporating signals into optimal trading (Q1739054) (← links)
• Asymptotic approach for backward stochastic differential equation with singular terminal condition (Q1994916) (← links)
• Generalized optimal liquidation problems across multiple trading venues (Q2165772) (← links)
• Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models (Q2238774) (← links)
• A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy (Q2246615) (← links)
• Optimal portfolio execution problem with stochastic price impact (Q2288736) (← links)
• Convergence of the embedded mean-variance optimal points with discrete sampling (Q2634609) (← links)
• An FBSDE approach to market impact games with stochastic parameters (Q2671645) (← links)
• A two-player portfolio tracking game (Q2675370) (← links)
• Optimal Execution with Dynamic Order Flow Imbalance (Q3456840) (← links)
• Optimal execution in Hong Kong given a market-on-close benchmark (Q4554447) (← links)
• Optimal execution with uncertain order fills in Almgren–Chriss framework (Q4555058) (← links)
• Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies (Q4584996) (← links)
• Optimal Trade Execution Under Stochastic Volatility and Liquidity (Q4586036) (← links)
• OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT (Q4631694) (← links)
• Optimal Execution and Block Trade Pricing: A General Framework (Q4682484) (← links)
• Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters (Q4958393) (← links)
• The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets (Q4987716) (← links)
• LATENCY AND LIQUIDITY RISK (Q5061490) (← links)
• Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics (Q5071495) (← links)
• Optimal solution of the liquidation problem under execution and price impact risks (Q5079391) (← links)
• Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact (Q5080132) (← links)
• Optimal Trading with Signals and Stochastic Price Impact (Q5097223) (← links)
• MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH (Q5210916) (← links)
• GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION (Q5262510) (← links)
• OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (Q5262522) (← links)
• On Regularized Optimal Execution Problems and Their Singular Limits (Q5879351) (← links)
• Optimal Execution: A Review (Q5879357) (← links)
• Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics (Q6069774) (← links)
• Accelerated Share Repurchases Under Stochastic Volatility (Q6112768) (← links)
• Optimal liquidation through a limit order book: a neural network and simulation approach (Q6164829) (← links)
• Optimal liquidation with dynamic parameter updating: a forward approach (Q6586873) (← links)
• Optimal trading and competition with information in the price impact model (Q6592284) (← links)
• Continuity problem for BSDE and IPDE with singular terminal condition (Q6640879) (← links)