Search Results - subject:"Optimal execution"

Optimal and equilibrium execution strategies with generalized price impact

Ohnishi, Masamitsu; Shimoshimizu, Makoto - In: Quantitative finance 20 (2020) 10, pp. 1625-1644

Persistent link: https://www.econbiz.de/10012295627

Optimal liquidation trajectories for the Almgren-Chriss model

Løkka, Arne; Xu, Junwei - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-35

Persistent link: https://www.econbiz.de/10012496903

A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies

Lipton, Alexander; López de Prado, Marcos M. - In: International journal of theoretical and applied finance 23 (2020) 8, pp. 1-34

Persistent link: https://www.econbiz.de/10012496922

Mean-field game strategies for optimal execution

Huang, Xuancheng; Jaimungal, Sebastian; Nourian, Mojtaba - In: Applied mathematical finance 26 (2019) 2, pp. 153-185

Persistent link: https://www.econbiz.de/10012210268

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

Optimal execution with regime-switching market resilience

Siu, Chi Chung; Guo, Ivan; Zhu, Song-Ping; Elliott, … - In: Journal of economic dynamics & control 101 (2019), pp. 17-40

Persistent link: https://www.econbiz.de/10012131017

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

Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty

Bismuth, Alexis; Guéant, Olivier; Pu, Jiang - In: Mathematics and financial economics 13 (2019) 4, pp. 661-719

Persistent link: https://www.econbiz.de/10012055900

Economic Modeling for Optimal Trading of Financial Asset in Volatile Market

Sun, Edward W.; Kruse, Timm - In: Economics Bulletin 33 (2013) 3, pp. 1788-1795

We build an optimal trading model for submitting market orders in volatile market. We show some analytical properties of our computational solution. We conduct numerical simulations to investigate the model performance. In comparison with other two alternative models, the simulation results show...

Persistent link: https://www.econbiz.de/10010836203

Mini-flash crashes, model risk, and optimal execution

Bayraktar, Erhan; Munk, Alexander - In: Market microstructure and liquidity 4 (2018) 1/2, pp. 1-44

Persistent link: https://www.econbiz.de/10012256386