Search Results - subject:"Optimal execution"

A convex duality method for optimal liquidation with participation constraints

Guéant, Olivier; Lasry, Jean-Michel; Pu, Jiang - In: Market microstructure and liquidity 1 (2015) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10011588186

Modelling optimal execution strategies for algorithmic trading

Damian, Virgil - In: Theoretical and applied economics : GAER review 22 (2015) 4, pp. 99-104

Persistent link: https://www.econbiz.de/10011559331

MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY

NYSTRÖM, KAJ; ALY, SIDI MOHAMED OULD; ZHANG, CHANGYONG - In: International Journal of Theoretical and Applied … 17 (2014) 05, pp. 1450034-1

practical importance for high frequency (HF) market makers as well as more traditional brokerage firms supplying optimal … execution services for clients. In general, the two problems are based on probabilistic models defined on certain reference …

Persistent link: https://www.econbiz.de/10011011279

An optimal execution problem with market impact

Kato, Takashi - In: Finance and Stochastics 18 (2014) 3, pp. 695-732

<Para ID="Par1">We study an optimal execution problem in a continuous-time market model that considers market impact …

Persistent link: https://www.econbiz.de/10010997069

An optimal execution problem with market impact

Kato, Takashi - In: Finance and stochastics 18 (2014) 3, pp. 695-732

Persistent link: https://www.econbiz.de/10010395953

Market making and portfolio liquidation under uncertainty

Nyström, Kaj; Aly, Sidi Mohamed Ould; Zhang, Changyong - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-33

Persistent link: https://www.econbiz.de/10010437189

Optimal liquidation in a limit order book for a risk-averse investor

Løkka, Arne - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 696-727

Persistent link: https://www.econbiz.de/10011308171

Execution and block trade pricing with optimal constant rate of participation

Guéant, Olivier - In: Journal of mathematical finance 4 (2014) 4, pp. 255-264

Persistent link: https://www.econbiz.de/10011312420

Strategic execution in the presence of an uninformed arbitrageur

Moallemi, Ciamac C.; Park, Beomsoo; Van Roy, Benjamin - In: Journal of financial markets 15 (2012) 4, pp. 361-391

Persistent link: https://www.econbiz.de/10009655270

OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK

GATHERAL, JIM; SCHIED, ALEXANDER - In: International Journal of Theoretical and Applied … 14 (2011) 03, pp. 353-368

With an alternative choice of risk criterion, we solve the HJB equation explicitly to find a closed-form solution for the optimal trade execution strategy in the Almgren–Chriss framework assuming the underlying unaffected stock price process is geometric Brownian motion.

Persistent link: https://www.econbiz.de/10009643837