Drift dependence of optimal trade execution strategies under transient price impact
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References listed on IDEAS
- Erhan Bayraktar & Michael Ludkovski, 2014.
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Wiley Blackwell, vol. 24(4), pages 627-650, October.
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- repec:dau:papers:123456789/7391 is not listed on IDEAS
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- repec:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0346-2 is not listed on IDEAS
- Roman Gayduk & Sergey Nadtochiy, 2016. "Endogenous Formation of Limit Order Books: Dynamics Between Trades," Papers 1605.09720, arXiv.org, revised Jun 2017.
- Dirk Becherer & Todor Bilarev & Peter Frentrup, 2015. "Optimal Asset Liquidation with Multiplicative Transient Price Impact," Papers 1501.01892, arXiv.org, revised Apr 2017.
- Alexander Schied & Elias Strehle & Tao Zhang, 2015. "High-frequency limit of Nash equilibria in a market impact game with transient price impact," Papers 1509.08281, arXiv.org, revised May 2017.
- Dirk Becherer & Todor Bilarev & Peter Frentrup, 2016. "Optimal Liquidation under Stochastic Liquidity," Papers 1603.06498, arXiv.org, revised Nov 2017.
- Roman Gayduk & Sergey Nadtochiy, 2015. "Liquidity Effects of Trading Frequency," Papers 1508.07914, arXiv.org, revised May 2017.
- Dirk Becherer & Todor Bilarev & Peter Frentrup, 2017. "Stability for gains from large investors' strategies in M1/J1 topologies," Papers 1701.02167, arXiv.org, revised Jan 2018.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-23 (All new papers)
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