Search Results - subject:"Optimal trade execution"

Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems

Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail - In: Finance and Stochastics 28 (2024) 3, pp. 813-863

literature on optimal trade execution pioneered by Obizhaeva and Wang (J. Financ. Mark. 16:1–32, 2013 ) (models with finite …

Persistent link: https://www.econbiz.de/10015359198

Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems

Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail - In: Finance and stochastics 28 (2024) 3, pp. 813-863

Persistent link: https://www.econbiz.de/10015130389

Self-exciting price impact via negative resilience in stochastic order books

Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail - In: Annals of Operations Research 336 (2022) 1, pp. 637-659

Most of the existing literature on optimal trade execution in limit order book models assumes that resilience is … paper we discuss several new qualitative effects on optimal trade execution that arise when we allow resilience to take …

Persistent link: https://www.econbiz.de/10015198027

Strategic execution trajectories

Bordigoni, Giuliana; Figalli, Alessio; Ledford, Anthony; … - In: Applied mathematical finance 29 (2022) 4, pp. 288-330

Persistent link: https://www.econbiz.de/10014291948

Self-exciting price impact via negative resilience in stochastic order books

Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail - In: Annals of Operations Research 336 (2022) 1, pp. 637-659

Persistent link: https://www.econbiz.de/10015408323

Market resilience

Daníelsson, Jón; Panayi, Efstathios; Peters, Gareth; … - 2018

Persistent link: https://www.econbiz.de/10012213912

Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models

Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail - In: Finance and stochastics 25 (2021) 4, pp. 757-810

Persistent link: https://www.econbiz.de/10012665227

Optimal execution in Hong Kong given a market-on-close benchmark

Frei, Christoph; Westray, Nicholas - In: Quantitative finance 18 (2018) 4, pp. 655-671

Persistent link: https://www.econbiz.de/10011906452

Optimal trading strategies with limit orders

Agliardi, Rossella; Gençay, Ramazan - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10011686803

A state-constrained differential game arising in optimal portfolio liquidation

Schied, Alexander; Zhang, Tao - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 779-802

Persistent link: https://www.econbiz.de/10011764972

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