An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process
Download full text from publisher
References listed on IDEAS
- Aur'elien Alfonsi & Antje Fruth & Alexander Schied, 2007. "Optimal execution strategies in limit order books with general shape functions," Papers 0708.1756, arXiv.org, revised Feb 2010.
- Alexander Schied & Torsten Schöneborn, 2009.
"Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets,"
Finance and Stochastics,
Springer, vol. 13(2), pages 181-204, April.
- Schied, Alexander & Schoeneborn, Torsten, 2008. "Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets," MPRA Paper 7105, University Library of Munich, Germany.
- Obizhaeva, Anna A. & Wang, Jiang, 2013.
"Optimal trading strategy and supply/demand dynamics,"
Journal of Financial Markets,
Elsevier, vol. 16(1), pages 1-32.
- Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc.
- Aurelien Alfonsi & Antje Fruth & Alexander Schied, 2010. "Optimal execution strategies in limit order books with general shape functions," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 143-157.
- Ajay Subramanian & Robert A. Jarrow, 2001. "The Liquidity Discount," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 447-474.
- Gur Huberman & Werner Stanzl, 2005. "Optimal Liquidity Trading," Review of Finance, Springer, vol. 9(2), pages 165-200, June.
- He, Hua & Mamaysky, Harry, 2005. "Dynamic trading policies with price impact," Journal of Economic Dynamics and Control, Elsevier, vol. 29(5), pages 891-930, May.
- repec:hal:wpaper:hal-00397652 is not listed on IDEAS
- Aurélien Alfonsi & Alexander Schied, 2010. "Optimal trade execution and absence of price manipulations in limit order book models," Post-Print hal-00397652, HAL.
- Gur Huberman & Werner Stanzl, 2004. "Price Manipulation and Quasi-Arbitrage," Econometrica, Econometric Society, vol. 72(4), pages 1247-1275, July.
- Jim Gatheral, 2010. "No-dynamic-arbitrage and market impact," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 749-759.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Takashi Kato, 2014. "VWAP Execution as an Optimal Strategy," Papers 1408.6118, arXiv.org, revised Jan 2017.
- Masashi Ieda, 2015. "A dynamic optimal execution strategy under stochastic price recovery," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-24, December.
- Takashi Kato, 2017. "An Optimal Execution Problem with S-shaped Market Impact Functions," Papers 1706.09224, arXiv.org, revised Oct 2017.
- Kensuke Ishitani & Takashi Kato, 2015. "Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact," Papers 1506.02789, arXiv.org, revised Aug 2015.
- Masashi Ieda, 2015. "A dynamic optimal execution strategy under stochastic price recovery," Papers 1502.04521, arXiv.org.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1107.1787. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.