This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss in [ 2 ], or only on the liquidity-consuming orders like Obizhaeva and Wang in [ 31 ], we link the optimal trade-schedule to...

In this paper, we use a database of around 400,000 metaorders issued by investors and electronically traded on European markets in 2010 in order to study market impact at different scales. At the intraday scale we confirm a square root temporary impact in the daily participation, and we shed...

We derive explicit recursive formulas for Target Close (TC) and Implementation Shortfall (IS) in the Almgren-Chriss framework. We explain how to compute the optimal starting and stopping times for IS and TC, respectively, given a minimum trading size. We also show how to add a minimum...

We study the simplest discrete-time finite-maturity model in which default arises when the firm is not able to pay its debt obligation using the current cash-flow plus the corporate liquidity. An important distinction is made between liquidity and solvency of the firm. The corporate financial...

Key Features:Interdisciplinary comments on market microstructure (covering economy, quantitative finance, and econophysics)Covers a very large spectrum of phenomenon: high frequency trading, liquidity monitoring, the Flash Crash, systemic risk, fragmentation, Smart Order Routing, trade...