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Search: subject:"Optimal execution"
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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
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21
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21
Stochastic process
21
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21
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19
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9
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market impact
9
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8
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7
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stochastic optimal control
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Guéant, Olivier
7
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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
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2
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2
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2
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2
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2
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1
Ahuja, Saran
1
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1
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1
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1
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1
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1
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1
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1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
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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
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3
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3
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2
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2
Journal of economic dynamics & control
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
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2
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1
Center for Mathematical Economics Working Papers
1
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1
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Computational Optimization and Applications
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1
Economics Bulletin
1
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1
FAU Discussion Papers in Economics
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1
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1
Top : an official journal of the Spanish Society of Statistics and Operations Research
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ECONIS (ZBW)
58
RePEc
10
EconStor
4
Showing
1
-
10
of
72
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date (oldest first)
1
Execution uncertainty of dark pools and portfolio balance
Zhu, Jianchang
;
Sun, Xuchu
;
Li, Tangrong
- In:
Finance research letters
63
(
2024
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014531284
Saved in:
2
Optimal
execution
with multiplicative price impact and incomplete information on the return
Dammann, Felix
;
Ferrari, Giorgio
- In:
Finance and Stochastics
27
(
2023
)
3
,
pp. 713-768
about the true value of the asset's trend. Its value function and
optimal
execution
rule are expressed in terms of the …
Persistent link: https://www.econbiz.de/10015098877
Saved in:
3
Optimal
execution
with multiplicative price impact and incomplete information on the return
Dammann, Felix
;
Ferrari, Giorgio
- In:
Finance and stochastics
27
(
2023
)
3
,
pp. 713-768
Persistent link: https://www.econbiz.de/10014328989
Saved in:
4
Optimal
execution
with multiplicative price impact and incomplete information on the return
Dammann, Felix
;
Ferrari, Giorgio
-
2022
's belief about the true value of the asset's trend. The
optimal
execution
rule and the problem's value function are expressed …
Persistent link: https://www.econbiz.de/10014304789
Saved in:
5
Optimal dxecution with multiplicative price impact and incomplete information on the return
Dammann, Felix
;
Ferrari, Giorgio
-
2022
's belief about the true value of the asset's trend. The
optimal
execution
rule and the problem's value function are expressed …
Persistent link: https://www.econbiz.de/10012880685
Saved in:
6
Learning a functional control for high-frequency finance
Leal, Laura
;
Lauriere, Mathieu
;
Lehalle, Charles-Albert
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 1973-1987
Persistent link: https://www.econbiz.de/10013490928
Saved in:
7
Price impact on term structure
Brigo, Damiano
;
Graceffa, Federico
;
Neuman, Eyal
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 171-195
Persistent link: https://www.econbiz.de/10012872530
Saved in:
8
Information relaxation and a duality-driven algorithm for stochastic dynamic programs
Chen, Nan
;
Ma, Xiang
;
Liu, Yanchu
;
Yu, Wei
- In:
Operations research
72
(
2024
)
6
,
pp. 2302-2320
Persistent link: https://www.econbiz.de/10015371401
Saved in:
9
On parametric
optimal
execution
and machine learning surrogates
Chen, Tao
;
Ludkovski, Mike
;
Voß, Moritz
- In:
Quantitative finance
24
(
2024
)
1
,
pp. 15-34
Persistent link: https://www.econbiz.de/10014551893
Saved in:
10
Deep attentive survival analysis in limit order books : estimating fill probabilities with convolutional-transformers
Arroyo, Álvaro
;
Cartea, Álvaro
;
Moreno-Pino, Fernando
; …
- In:
Quantitative finance
24
(
2024
)
1
,
pp. 35-57
Persistent link: https://www.econbiz.de/10014551895
Saved in:
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