General Intensity Shapes in Optimal Liquidation
Download full text from publisher
Other versions of this item:
References listed on IDEAS
- Erhan Bayraktar & Michael Ludkovski, 2014.
"Liquidation In Limit Order Books With Controlled Intensity,"
Wiley Blackwell, vol. 24(4), pages 627-650, October.
- Erhan Bayraktar & Michael Ludkovski, 2011. "Liquidation in Limit Order Books with Controlled Intensity," Papers 1105.0247, arXiv.org, revised Jan 2012.
- 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.
- Schied, Alexander & Schöneborn, Torsten, 2007. "Optimal Portfolio Liquidation for CARA Investors," MPRA Paper 5075, University Library of Munich, Germany.
- Alexander Schied & Torsten Schoneborn & Michael Tehranchi, 2010. "Optimal Basket Liquidation for CARA Investors is Deterministic," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(6), pages 471-489.
- Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es, 2009.
"Optimal split of orders across liquidity pools: a stochastic algorithm approach,"
0910.1166, arXiv.org, revised May 2010.
- Sophie Laruelle & Charles-Albert Lehalle & Gilles Pagès, 2010. "Optimal split of orders across liquidity pools: a stochastic algorithm approach," Working Papers hal-00422427, HAL.
- 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.
- Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es, 2011. "Optimal posting price of limit orders: learning by trading," Papers 1112.2397, arXiv.org, revised Sep 2012.
- Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, vol. 1(1), pages 1-50, April.
- 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.
- Fabien Guilbaud & Mohamed Mnif & Huy^en Pham, 2010. "Numerical methods for an optimal order execution problem," Papers 1006.0768, arXiv.org.
- 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:dau:papers:123456789/7391 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.
- 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.
- Saran Ahuja & George Papanicolaou & Weiluo Ren & Tzu-Wei Yang, 2016. "Limit order trading with a mean reverting reference price," Papers 1607.00454, arXiv.org, revised Nov 2016.
- Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Working Papers hal-00737491, HAL.
- Roman Gayduk & Sergey Nadtochiy, 2016. "Endogenous Formation of Limit Order Books: Dynamics Between Trades," Papers 1605.09720, arXiv.org, revised Jun 2017.
- Pierre Cardaliaguet & Charles-Albert Lehalle, 2016. "Mean Field Game of Controls and An Application To Trade Crowding," Papers 1610.09904, arXiv.org, revised Sep 2017.
- Xuefeng Gao & S. J. Deng, 2014. "Hydrodynamic limit of order book dynamics," Papers 1411.7502, arXiv.org, revised Feb 2016.
- Jean-David Fermanian & Olivier Gu'eant & Jiang Pu, 2015. "The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms," Papers 1511.07773, arXiv.org, revised Mar 2017.
- Álvaro Cartea & Sebastian Jaimungal & Damir Kinzebulatov, 2016. "Algorithmic Trading With Learning," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-30, June.
- Etienne Chevalier & Vathana Ly Vath & Simone Scotti & Alexandre Roch, 2016. "Optimal Execution Cost For Liquidation Through A Limit Order Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-26, February.
- repec:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500054 is not listed on IDEAS
- Olivier Gu'eant, 2016. "Optimal market making," Papers 1605.01862, arXiv.org, revised May 2017.
- Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Papers 1210.1625, arXiv.org, revised Nov 2014.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-10 (All new papers)
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:1204.0148. 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/ .