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An optimal control strategy for execution of large stock orders using long short-term memory networks
Papanicolaou, Andrew; Fu, Hao; Krishnamurthy, Prashanth; … - In: The journal of computational finance 26 (2023) 4, pp. 37-65
Persistent link: https://www.econbiz.de/10014342063
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Price impact on term structure
Brigo, Damiano; Graceffa, Federico; Neuman, Eyal - In: Quantitative finance 22 (2022) 1, pp. 171-195
Persistent link: https://www.econbiz.de/10012872530
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Discrete-time optimal execution under a generalized price impact model with Markovian exogenous orders
Fukasawa, Masaaki; Ohnishi, Masamitsu; Shimoshimizu, Makoto - In: International journal of theoretical and applied finance 24 (2021) 5, pp. 1-43
Persistent link: https://www.econbiz.de/10012662027
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Strategic execution in the presence of an uninformed arbitrageur
Moallemi, Ciamac C.; Park, Beomsoo; Van Roy, Benjamin - In: Journal of financial markets 15 (2012) 4, pp. 361-391
Persistent link: https://www.econbiz.de/10009655270
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Optimal liquidation under stochastic price impact
Barger, Weston; Lorig, Matthew - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012012935
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Optimal execution with dynamic risk adjustment
Cheng, Xue; Di Giacinto, Marina; Wang, Tai-Ho - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1662-1677
Persistent link: https://www.econbiz.de/10012214354
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Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty
Bulthuis, Brian; Concha, Julio; Leung, Tim; Ward, Brian - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-29
Persistent link: https://www.econbiz.de/10011777847
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The impact of XBRL reporting on market efficiency
Cong, Yu; Hao, Jia; Zou, Lin - In: The journal of information systems : JIS ; a semiannual … 28 (2014) 2, pp. 181-207
Persistent link: https://www.econbiz.de/10010474841
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Dollar dominance in FX trading
Somogyi, Fabricius - 2022 - This version: 1 February 2022
Over 85% of all foreign exchange (FX) transactions involve the US dollar. I show that the US dollar dominates FX trading volume because of strategic avoidance of price impact. To demonstrate this, I leverage the fact that non-dollar currency pairs can be traded indirectly by using the US dollar...
Persistent link: https://www.econbiz.de/10012815985
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The multiple dimensions of liquidity
Garabedian, Garo; Inghelbrecht, Koen - 2020
Persistent link: https://www.econbiz.de/10012793065