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  • Search: subject:"Optimal execution"
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Year of publication
Subject
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Theorie 37 Theory 37 Securities trading 30 Wertpapierhandel 30 optimal execution 27 Optimal execution 26 Mathematical programming 22 Mathematische Optimierung 22 Börsenkurs 21 Share price 21 Stochastic process 21 Stochastischer Prozess 21 Portfolio selection 19 Portfolio-Management 19 Electronic trading 16 Elektronisches Handelssystem 16 Market microstructure 13 Marktmikrostruktur 13 Bid-ask spread 9 Geld-Brief-Spanne 9 market impact 9 Dynamic programming 8 Dynamische Optimierung 8 Führungskräfte 8 Managers 8 Optimal Execution 7 algorithmic trading 7 stochastic optimal control 7 Liquidity 6 Search theory 6 Suchtheorie 6 Algorithm 5 Algorithmus 5 Control theory 5 Kontrolltheorie 5 Learning process 5 Lernprozess 5 Liquidität 5 Market impact 5 Option pricing theory 5
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Online availability
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Undetermined 46 Free 18 CC license 1
Type of publication
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Article 62 Book / Working Paper 10
Type of publication (narrower categories)
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Article in journal 54 Aufsatz in Zeitschrift 54 Working Paper 5 Graue Literatur 4 Non-commercial literature 4 Arbeitspapier 3 Article 2 Hochschulschrift 1
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Language
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English 63 Undetermined 9
Author
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Guéant, Olivier 7 Dammann, Felix 4 Ferrari, Giorgio 4 Pu, Jiang 4 Moallemi, Ciamac C. 3 Ohnishi, Masamitsu 3 Schnaubelt, Matthias 3 Alfonsi, Aurélien 2 Benazzoli, Chiara 2 Blanc, Pierre 2 Brigo, Damiano 2 Di Persio, Luca 2 Fu, Hao 2 Healy, Brian 2 Jaimungal, Sebastian 2 Kato, Takashi 2 Khorrami, Farshad 2 Kuno, Seiya 2 Lehalle, Charles-Albert 2 Løkka, Arne 2 Marzo, Massimiliano 2 Neuman, Eyal 2 Papanicolaou, Andrew 2 Ritelli, Daniele 2 Shimoshimizu, Makoto 2 Zagaglia, Paolo 2 ALY, SIDI MOHAMED OULD 1 Ahuja, Saran 1 Aly, Sidi Mohamed Ould 1 Arroyo, Álvaro 1 Barger, Weston 1 Bayraktar, Erhan 1 Bellani, Claudio 1 Bismuth, Alexis 1 Bulthuis, Brian 1 Carmona, René 1 Cartea, Álvaro 1 Chen, Nan 1 Chen, Tao 1 Cheng, Xue 1
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Institution
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HAL 1 Institute for Monetary and Economic Studies, Bank of Japan 1 Rimini Centre for Economic Analysis (RCEA) 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Applied mathematical finance 7 International journal of theoretical and applied finance 6 Market microstructure and liquidity 6 Quantitative finance 6 International journal of financial engineering 4 Finance and stochastics 3 Journal of mathematical finance 3 Finance and Stochastics 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 Journal of economic dynamics & control 2 Mathematical finance : an international journal of mathematics, statistics and financial theory 2 Operations research 2 Applied Mathematical Finance 1 Center for Mathematical Economics Working Papers 1 Cogent Economics & Finance 1 Cogent economics & finance 1 Computational Optimization and Applications 1 Dynamic games and applications : DGA 1 Economics Bulletin 1 European journal of operational research : EJOR 1 FAU Discussion Papers in Economics 1 FAU discussion papers in economics 1 Finance research letters 1 IMES Discussion Paper Series 1 Journal of financial markets 1 Journal of risk 1 Journal of the Operational Research Society 1 MPRA Paper 1 Mathematics and financial economics 1 Quaderni - working paper DSE / Alma Mater Studiorum - Università di Bologna, Department of Economics 1 Risk and decision analysis 1 The journal of computational finance 1 The journal of computational finance : JFC 1 Theoretical and applied economics : GAER review 1 Top : an official journal of the Spanish Society of Statistics and Operations Research 1 Working Paper Series / Rimini Centre for Economic Analysis (RCEA) 1 Working Papers / HAL 1 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 1
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Source
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ECONIS (ZBW) 58 RePEc 10 EconStor 4
Showing 41 - 50 of 72
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Optimal starting times, stopping times and risk measures for algorithmic trading
Labadie, Mauricio; Lehalle, Charles-Albert - HAL - 2012
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...
Persistent link: https://www.econbiz.de/10010899433
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Optimal execution in a multiplayer model of transient price impact
Strehle, Elias - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-26
Persistent link: https://www.econbiz.de/10011988893
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Option pricing and hedging with execution costs and market impact
Guéant, Olivier; Pu, Jiang - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 803-831
Persistent link: https://www.econbiz.de/10011764978
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Optimal execution of accelerated share repuchase contracts with fixed notional
Guéant, Olivier - In: Journal of risk 19 (2017) 5, pp. 77-99
Persistent link: https://www.econbiz.de/10011747118
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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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Limit order trading with a mean reverting reference price
Ahuja, Saran; Papanicolaou, George; Ren, Weiluo; Yang, … - In: Risk and decision analysis 6 (2017) 2, pp. 121-136
Persistent link: https://www.econbiz.de/10011743827
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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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Optimal execution with transient impact
Dang, Ngoc-Minh - In: Market microstructure and liquidity 3 (2017) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10011778309
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Optimal accelerated share repurchases
Jaimungal, S.; Kinzebulatov, D.; Rubisov, D. H. - In: Applied mathematical finance 24 (2017) 3/4, pp. 216-245
Persistent link: https://www.econbiz.de/10011815227
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Optimal trading execution with nonlinear market impact: an alternative solution method
Massmiliano, Marzo; Daniele, Ritelli; Paolo, Zagaglia - Volkswirtschaftliche Fakultät, … - 2011
parametric restrictions are imposed. Second, with positive asset holdings in the initial period, the optimal execution time …
Persistent link: https://www.econbiz.de/10009386716
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