Search Results - subject:"Trade execution"

Trade execution games in a Markovian environment

Ohnishi, Masamitsu; Shimoshimizu, Makoto - In: Applied mathematical finance 31 (2024) 4, pp. 239-277

Persistent link: https://www.econbiz.de/10015415729

Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems

Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail - In: Finance and Stochastics 28 (2024) 3, pp. 813-863

literature on optimal trade execution pioneered by Obizhaeva and Wang (J. Financ. Mark. 16:1–32, 2013 ) (models with finite … solution for the (extended) initial trade execution problem. Finally, we illustrate our results by several examples. Among … extend the initial trade execution problem to a reasonably large class of progressively measurable processes (even going …

Persistent link: https://www.econbiz.de/10015359198

Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems

Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail - In: Finance and stochastics 28 (2024) 3, pp. 813-863

Persistent link: https://www.econbiz.de/10015130389

Self-exciting price impact via negative resilience in stochastic order books

Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail - In: Annals of Operations Research 336 (2022) 1, pp. 637-659

Most of the existing literature on optimal trade execution in limit order book models assumes that resilience is … paper we discuss several new qualitative effects on optimal trade execution that arise when we allow resilience to take …

Persistent link: https://www.econbiz.de/10015408323

Strategic execution trajectories

Bordigoni, Giuliana; Figalli, Alessio; Ledford, Anthony; … - In: Applied mathematical finance 29 (2022) 4, pp. 288-330

Persistent link: https://www.econbiz.de/10014291948

Self-exciting price impact via negative resilience in stochastic order books

Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail - In: Annals of Operations Research 336 (2022) 1, pp. 637-659

Persistent link: https://www.econbiz.de/10015198027

Detecting jumps amidst prevalent zero returns : evidence from the U.S. Treasury securities

Han, Seung-Oh; Huh, Sahn-Wook; Park, Jeayoung - In: Journal of empirical finance 70 (2023), pp. 276-307

Persistent link: https://www.econbiz.de/10014423707

Fast trading and the virtue of entropy: Evidence from the foreign exchange market

Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019

trade execution. We estimate that a 10 percent increase in entropy reduces the negative impact of macro news by over 60% for …

Persistent link: https://www.econbiz.de/10012142144

Executing trades in style : retail investors vs. institutions

Manapol Ekkayokkaya; Suppasit Jirajaroenying; Wolff, … - In: Asia-Pacific journal of accounting & economics : … 29 (2022) 2, pp. 344-362

Persistent link: https://www.econbiz.de/10013166578

Fast trading and the virtue of entropy : evidence from the foreign exchange market

Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019

Persistent link: https://www.econbiz.de/10012703265