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1
Single- and multiplayer trade execution strategies under transient price impact
Strehle, Elias
-
2017
Persistent link: https://www.econbiz.de/10012197703
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Uncertain execution in order-driven markets
Sánchez-Betancourt, Leandro
-
2021
Persistent link: https://www.econbiz.de/10012939003
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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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10
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
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