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