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Single- and multiplayer trade execution strategies under transient price impact

Strehle, Elias - 2017

Persistent link: https://www.econbiz.de/10012197703

Optimal liquidation, acquisition and market making problems in HFT under Hawkes models for LOB

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The present paper is focused on the solution of optimal control problems such as optimal acquisition, optimal liquidation, and market making in relation to the high-frequency trading market. We have modeled optimal control problems with the price approximated by the diffusion process for the...

Persistent link: https://www.econbiz.de/10013368241

Fast and slow optimal trading with exogenous information

Cont, Rama; Micheli, Alessandro; Neuman, Eyal - In: Finance and stochastics 29 (2025) 2, pp. 553-607

Persistent link: https://www.econbiz.de/10015394810

Optimal execution in a multiplayer model of transient price impact

Strehle, Elias - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-26

Persistent link: https://www.econbiz.de/10011988893

Optimal execution : a review

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

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

Modelling asset prices for algorithmic and high-frequency trading

Cartea, Álvaro; Jaimungal, Sebastian - In: Applied mathematical finance 20 (2013) 5/6, pp. 512-547

Persistent link: https://www.econbiz.de/10010235563

Algorithmic trading of co-integrated assets

Cartea, Álvaro; Jaimungal, Sebastian - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-18

Persistent link: https://www.econbiz.de/10011572368

Optimal limit order book trading strategies with stochastic volatility in the underlying asset

Aydoğan, Burcu; Uğur, Ömür; Aksoy, Ümit - In: Computational economics 62 (2023) 1, pp. 289-324

Persistent link: https://www.econbiz.de/10014327497

Portfolio liquidation in dark pools in continuous time

Kratz, Peter; Schöneborn, Torsten - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 496-544

Persistent link: https://www.econbiz.de/10011350581

Algorithmic trading with learning

Cartea, Álvaro; Jaimungal, Sebastian; Kinzebulatov, Damir - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-30

Persistent link: https://www.econbiz.de/10011523847