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Optimal execution with liquidity risk in a diffusive order book market

Lee, Hyoeun; Lee, Kiseop - In: International journal of financial engineering 10 (2023) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10014444510

Optimal trading of algorithmic orders in a liquidity fragmented market place

Kumaresan, Miles; Krejić, Nataša - 2015

Persistent link: https://www.econbiz.de/10011284394

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

Arbitrage, linear programming and martingales in securities markets with bid-ask spreads

Ortu, Fulvio - In: Decisions in economics and finance : DEF ; a journal of … 24 (2001) 2, pp. 79-105

Persistent link: https://www.econbiz.de/10001683838

Optimal execution : a review

Donnelly, Ryan - In: Applied mathematical finance 29 (2022) 3, pp. 181-212

Persistent link: https://www.econbiz.de/10013554798

A Stochastic LQR Model for Child Order Placement in Algorithmic Trading

Shen, Jackie - 2020

complexities, e.g., fragmentation due to multiple venues, dynamics of limit order books, lit vs. dark liquidity, different trading …

Persistent link: https://www.econbiz.de/10012837206

Discrete-time optimal execution under a generalized price impact model with Markovian exogenous orders

Fukasawa, Masaaki; Ohnishi, Masamitsu; Shimoshimizu, Makoto - In: International journal of theoretical and applied finance 24 (2021) 5, pp. 1-43

Persistent link: https://www.econbiz.de/10012662027

Modelling and trading the English and German stock markets with novelty optimization techniques

Karathanasopoulos, Andreas; Mitra, Sovan; Skindilias, … - In: Journal of forecasting 36 (2017) 8, pp. 974-988

Persistent link: https://www.econbiz.de/10011860938

Modelling and trading the English stock market with new forecasting techniques

Karathanasopoulos, Andreas - In: Economics and Business Letters : EBL 5 (2016) 2, pp. 50-57

The motivation of this paper is to introduce a short term adaptive model (Partial Swarm Optimizer combined with linear and nonlinear models when applied to the task of forecasting and trading the daily closing returns of the FTSE100 exchange traded funds (ETFs). This is done by benchmarking its...

Persistent link: https://www.econbiz.de/10011573208

Front-running scalping strategies and market manipulation : why does high-frequency trading need stricter regulation?

Manahov, Viktor - In: The financial review : the official publication of the … 51 (2016) 3, pp. 363-402

Persistent link: https://www.econbiz.de/10011550911