Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework
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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.
- Obizhaeva, Anna A. & Wang, Jiang, 2013.
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- Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc.
- Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011. "Optimal Portfolio Liquidation with Limit Orders," Papers 1106.3279, arXiv.org, revised Jul 2012.
- repec:dau:papers:123456789/7391 is not listed on IDEAS
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Takashi Kato, 2017. "An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model," Papers 1701.08972, arXiv.org, revised Aug 2017.
- Christopher Lorenz & Alexander Schied, 2013. "Drift dependence of optimal trade execution strategies under transient price impact," Finance and Stochastics, Springer, vol. 17(4), pages 743-770, October.
- Erhan Bayraktar & Alexander Munk, 2017. "Mini-Flash Crashes, Model Risk, and Optimal Execution," Papers 1705.09827, arXiv.org.
- Phillip Monin, 2014. "Hedging Market Risk in Optimal Liquidation," Working Papers 14-08, Office of Financial Research, US Department of the Treasury.
- 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.
- repec:eee:ejores:v:264:y:2018:i:3:p:1159-1171 is not listed on IDEAS
- Damiano Brigo & Giuseppe Di Graziano, 2013. "Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions," Papers 1304.2942, arXiv.org, revised May 2014.
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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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