Mathematical Formulation of an Optimal Execution Problem with Uncertain Market Impact
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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.
- 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.
- Jim Gatheral, 2010. "No-dynamic-arbitrage and market impact," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 749-759.
- Ajay Subramanian & Robert A. Jarrow, 2001. "The Liquidity Discount," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 447-474, October.
- Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, vol. 1(1), pages 1-50, April.
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Cited by:
- Takashi Kato, 2017. "An Optimal Execution Problem with S-shaped Market Impact Functions," Papers 1706.09224, arXiv.org, revised Oct 2017.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2013-02-03 (Market Microstructure)
- NEP-UPT-2013-02-03 (Utility Models and Prospect Theory)
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