When order execution meets informed trading
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Cites work
- A closed-form execution strategy to target volume weighted average price
- A Stackelberg order execution game
- A state-constrained differential game arising in optimal portfolio liquidation
- A two-player portfolio tracking game
- Algorithmic and high-frequency trading
- Closed‐loop Nash competition for liquidity
- Continuous Auctions and Insider Trading
- Hedging with temporary price impact
- Incorporating order-flow into optimal execution
- Incorporating signals into optimal trading
- Insider trading with temporary price impact
- Mean-Field Game Strategies for Optimal Execution
- Mean-field games with differing beliefs for algorithmic trading
- No-dynamic-arbitrage and market impact
- Optimal execution of a VWAP order: a stochastic control approach
- Optimal execution strategies in limit order books with general shape functions
- 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 Signal-Adaptive Trading with Temporary and Transient Price Impact
- Optimal trade execution for Gaussian signals with power-law resilience
- Optimal trade execution with instantaneous price impact and stochastic resilience
- Optimal trade execution: a mean quadratic variation approach
- Optimal trading and competition with information in the price impact model
- Order book resilience, price manipulation, and the positive portfolio problem
- Price Manipulation and Quasi-Arbitrage
- Trading with the crowd
- Transient linear price impact and Fredholm integral equations
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