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Drift dependence of optimal trade execution strategies under transient price impact

Citations

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Cited by:

  1. Eduardo Abi Jaber & Eyal Neuman, 2025. "Optimal Liquidation with Signals: the General Propagator Case," Post-Print hal-03835948, HAL.
  2. Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2022. "A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies," Papers 2207.00446, arXiv.org, revised Sep 2023.
  3. Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2021. "Self-exciting price impact via negative resilience in stochastic order books," Papers 2112.03789, arXiv.org, revised Jul 2022.
  4. Xinman Cheng & Guanxing Fu & Xiaonyu Xia, 2024. "Long Time Behavior of Optimal Liquidation Problems," Papers 2405.14177, arXiv.org.
  5. Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2025. "Multi-asset optimal trade execution with stochastic cross-effects: An Obizhaeva-Wang-type framework," Papers 2503.05594, arXiv.org.
  6. Dirk Becherer & Todor Bilarev & Peter Frentrup, 2015. "Optimal Asset Liquidation with Multiplicative Transient Price Impact," Papers 1501.01892, arXiv.org, revised Apr 2017.
  7. Dirk Becherer & Todor Bilarev & Peter Frentrup, 2016. "Optimal Liquidation under Stochastic Liquidity," Papers 1603.06498, arXiv.org, revised Nov 2017.
  8. Dirk Becherer & Todor Bilarev & Peter Frentrup, 2017. "Stability for gains from large investors' strategies in M1/J1 topologies," Papers 1701.02167, arXiv.org, revised Mar 2018.
  9. Dirk Becherer & Todor Bilarev & Peter Frentrup, 2018. "Optimal liquidation under stochastic liquidity," Finance and Stochastics, Springer, vol. 22(1), pages 39-68, January.
  10. Roman Gayduk & Sergey Nadtochiy, 2015. "Liquidity Effects of Trading Frequency," Papers 1508.07914, arXiv.org, revised May 2017.
  11. Ulrich Horst & Evgueni Kivman, 2021. "Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies," Papers 2103.05957, arXiv.org, revised Jul 2023.
  12. Ulrich Horst & Evgueni Kivman, 2024. "Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies," Finance and Stochastics, Springer, vol. 28(3), pages 759-812, July.
  13. Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2024. "Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems," Finance and Stochastics, Springer, vol. 28(3), pages 813-863, July.
  14. Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2022. "Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems," Papers 2206.03772, arXiv.org, revised Sep 2023.
  15. Julien Vaes & Raphael Hauser, 2018. "Optimal Trade Execution with Uncertain Volume Target," Papers 1810.11454, arXiv.org, revised Sep 2021.
  16. Tao Chen & Mike Ludkovski & Moritz Vo{ss}, 2022. "On Parametric Optimal Execution and Machine Learning Surrogates," Papers 2204.08581, arXiv.org, revised Oct 2023.
  17. Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2024. "Self-exciting price impact via negative resilience in stochastic order books," Annals of Operations Research, Springer, vol. 336(1), pages 637-659, May.
  18. Horst, Ulrich & Xia, Xiaonyu & Zhou, Chao, 2021. "Portfolio Liquidation under Factor Uncertainty," Rationality and Competition Discussion Paper Series 274, CRC TRR 190 Rationality and Competition.
  19. Fayc{c}al Drissi, 2022. "Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals," Papers 2202.07478, arXiv.org, revised Aug 2023.
  20. repec:hal:wpaper:hal-03835948 is not listed on IDEAS
  21. Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2021. "Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models," Finance and Stochastics, Springer, vol. 25(4), pages 757-810, October.
  22. Roman Gayduk & Sergey Nadtochiy, 2016. "Endogenous Formation of Limit Order Books: Dynamics Between Trades," Papers 1605.09720, arXiv.org, revised Jun 2017.
  23. Eduardo Abi Jaber & Eyal Neuman, 2022. "Optimal Liquidation with Signals: the General Propagator Case," Papers 2211.00447, arXiv.org, revised Sep 2025.
  24. Ulrich Horst & Xiaonyu Xia & Chao Zhou, 2019. "Portfolio liquidation under factor uncertainty," Papers 1909.00748, arXiv.org.
  25. 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.
  26. Marcello Monga, 2024. "Automated Market Making and Decentralized Finance," Papers 2407.16885, arXiv.org.
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