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Single- and multiplayer trade execution strategies under transient price impact
Strehle, Elias - 2017
Persistent link: https://www.econbiz.de/10012197703
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Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
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Optimal execution in illiquid market with the absence of price manipulation
Kuno, Seiya; Ohnishi, Masamitsu - In: Journal of mathematical finance 5 (2015) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10011398566
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Dynamic optimal execution in a mixed-market-impact Hawkes price model
Alfonsi, Aurélien; Blanc, Pierre - In: Finance and stochastics 20 (2016) 1, pp. 183-218
Persistent link: https://www.econbiz.de/10011460309
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Uncertain execution in order-driven markets
Sánchez-Betancourt, Leandro - 2021
Persistent link: https://www.econbiz.de/10012939003
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Extension and calibration of a Hawkes-based optimal execution model
Alfonsi, Aurélien; Blanc, Pierre - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-55
Persistent link: https://www.econbiz.de/10011588251
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Optimal off-exchange execution with closing price
Kuno, Seiya; Ohinishi, Masamitsu; Shimizu, Peilu - In: Journal of mathematical finance 7 (2017) 1, pp. 54-64
Persistent link: https://www.econbiz.de/10011658215
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Solvability of differential riccati equations and applications to algorithmic trading with signals
Drissi, Fayçal - In: Applied mathematical finance 29 (2022) 6, pp. 457-493
Persistent link: https://www.econbiz.de/10014390281
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High frequency market microstructure
O'Hara, Maureen - In: Journal of financial economics 116 (2015) 2, pp. 267-270
Persistent link: https://www.econbiz.de/10011348519
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Price jump prediction in a limit order book
Zheng, Ban; Moulines, Eric; Abergel, Frédéric - In: Journal of mathematical finance 3 (2013) 2, pp. 242-255
Persistent link: https://www.econbiz.de/10010239589