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A model for optimal execution of atomic orders

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  • Miles Kumaresan
  • Nataša Krejić

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  • Miles Kumaresan & Nataša Krejić, 2010. "A model for optimal execution of atomic orders," Computational Optimization and Applications, Springer, vol. 46(2), pages 369-389, June.
    • Handle: RePEc:spr:coopap:v:46:y:2010:i:2:p:369-389
    DOI: 10.1007/s10589-009-9245-6
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    References listed on IDEAS

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    1. Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003. "Fluctuations and response in financial markets: the subtle nature of `random' price changes," Papers cond-mat/0307332, arXiv.org, revised Aug 2003.
    2. Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2004. "Fluctuations and response in financial markets: the subtle nature of 'random' price changes," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 176-190.
    3. Fabrizio Lillo & J. Doyne Farmer & Rosario N. Mantegna, 2003. "Master curve for price-impact function," Nature, Nature, vol. 421(6919), pages 129-130, January.
    4. Robert Almgren, 2003. "Optimal execution with nonlinear impact functions and trading-enhanced risk," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(1), pages 1-18.
    5. Gençay, Ramazan & Dacorogna, Michel & Muller, Ulrich A. & Pictet, Olivier & Olsen, Richard, 2001. "An Introduction to High-Frequency Finance," Elsevier Monographs, Elsevier, edition 1, number 9780122796715.
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    Cited by:

    1. Miles Kumaresan & Nataša Krejić, 2015. "Optimal trading of algorithmic orders in a liquidity fragmented market place," Annals of Operations Research, Springer, vol. 229(1), pages 521-540, June.
    2. Ponta, Linda & Trinh, Mailan & Raberto, Marco & Scalas, Enrico & Cincotti, Silvano, 2019. "Modeling non-stationarities in high-frequency financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 173-196.

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