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Extension and calibration of a Hawkes-based optimal execution model
Alfonsi, Aurélien; Blanc, Pierre - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-55
Persistent link: https://www.econbiz.de/10011588251
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Dynamic optimal execution in a mixed-market-impact Hawkes price model
Alfonsi, Aurélien; Blanc, Pierre - In: Finance and stochastics 20 (2016) 1, pp. 183-218
Persistent link: https://www.econbiz.de/10011460309
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Nash equilibrium for risk-averse investors in a market impact game with transient price impact
Luo, Xiangge; Schied, Alexander - In: Market microstructure and liquidity 5 (2019) 1/4, pp. 1-27
Persistent link: https://www.econbiz.de/10012819919
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A market impact game under transient price impact
Schied, Alexander; Zhang, Tao - In: Mathematics of operations research 44 (2019) 1, pp. 102-121
Persistent link: https://www.econbiz.de/10012001072
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Single- and multiplayer trade execution strategies under transient price impact
Strehle, Elias - 2017
Persistent link: https://www.econbiz.de/10012197703