Strategic Execution Trajectories
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Recommendations
- Optimal and equilibrium execution strategies with generalized price impact
- Optimal execution with non-linear transient market impact
- Drift dependence of optimal trade execution strategies under transient price impact
- Optimal execution with weighted impact functions: a quadratic programming approach
- Optimal trade execution: a mean quadratic variation approach
Cites work
- A closed-form execution strategy to target volume weighted average price
- A fully consistent, minimal model for nonlinear market impact
- A survey of some recent applications of optimal transport methods to econometrics
- Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?
- Fluctuations and response in financial markets: the subtle nature of `random' price changes
- From Bachelier to Dupire via optimal transport
- scientific article; zbMATH DE number 1909499 (Why is no real title available?)
- Martingale optimal transport and robust hedging in continuous time
- No-dynamic-arbitrage and market impact
- Optimal Execution in a General One-Sided Limit-Order Book
- Optimal execution of a VWAP order: a stochastic control approach
- Optimal execution strategies in limit order books with general shape functions
- Optimal execution with non-linear transient market impact
- Optimal trade execution for Gaussian signals with power-law resilience
- Option pricing with linear market impact and nonlinear Black-Scholes equations
- Price Manipulation and Quasi-Arbitrage
- Random walks, liquidity molasses and critical response in financial markets
- Robust hedging with proportional transaction costs
- Transient linear price impact and Fredholm integral equations
Cited in
(19)- Strategic decision processes in matrix organizations
- Negative selection -- a new performance measure for automated order execution
- Optimal pair-trade execution with generalized cross-impact
- Mean-variance optimal adaptive execution
- Efficient trading frontier: a shortage function approach
- Multivariate transient price impact and matrix-valued positive definite functions
- Apparent impact: the hidden cost of one-shot trades
- Drift dependence of optimal trade execution strategies under transient price impact
- scientific article; zbMATH DE number 1488920 (Why is no real title available?)
- Optimal execution with non-linear transient market impact
- Optimal execution with uncertain order fills in Almgren-Chriss framework
- Execution in an aggregator
- Mechanics of good trade execution in the framework of linear temporary market impact
- Cross-sectional variation of intraday liquidity, cross-impact, and their effect on portfolio execution
- Optimal and equilibrium execution strategies with generalized price impact
- Periodic strategies in optimal execution with multiplicative price impact
- A pre-trade algorithmic trading model under given volume measures and generic price dynamics
- Trading co-integrated assets with price impact
- Double-Execution Strategies Using Path Signatures
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