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Trading With Small Price Impact


  • Ludovic Moreau
  • Johannes Muhle-Karbe
  • H. Mete Soner


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Suggested Citation

  • Ludovic Moreau & Johannes Muhle-Karbe & H. Mete Soner, 2017. "Trading With Small Price Impact," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 350-400, April.
  • Handle: RePEc:bla:mathfi:v:27:y:2017:i:2:p:350-400

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    Cited by:

    1. Jorge Guijarro-Ordonez, 2019. "Stochastic control in high-dimensional statistical arbitrage under an Ornstein-Uhlenbeck process," Papers 1901.09309,
    2. repec:eee:spapps:v:129:y:2019:i:6:p:1964-1992 is not listed on IDEAS
    3. Martin Herdegen & Johannes Muhle-Karbe & Dylan Possamai, 2019. "Equilibrium Asset Pricing with Transaction Costs," Papers 1901.10989,, revised Jun 2019.
    4. Matt Emschwiller & Benjamin Petit & Jean-Philippe Bouchaud, 2019. "Optimal multi-asset trading with linear costs: a mean-field approach," Papers 1905.04821,
    5. Lukas Gonon & Johannes Muhle-Karbe & Xiaofei Shi, 2019. "Asset Pricing with General Transaction Costs: Theory and Numerics," Papers 1905.05027,, revised Jun 2019.
    6. Bruno Bouchard & Johannes Muhle-Karbe, 2018. "Simple Bounds for Transaction Costs," Papers 1802.06120,
    7. Johannes Muhle-Karbe & Marcel Nutz & Xiaowei Tan, 2019. "Asset Pricing with Heterogeneous Beliefs and Illiquidity," Papers 1905.05730,
    8. Bruno Bouchard & Johannes Muhle-Karbe, 2018. "Simple Bounds for Transaction Costs," Working Papers hal-01711371, HAL.
    9. Peter Bank & Moritz Vo{ss}, 2018. "Optimal investment with transient price impact," Papers 1804.07392,
    10. Bruno Bouchard & Masaaki Fukasawa & Martin Herdegen & Johannes Muhle-Karbe, 2018. "Equilibrium Returns with Transaction Costs," Post-Print hal-01569408, HAL.

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