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Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience

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. 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.
  3. Ulrich Horst & Xiaonyu Xia, 2019. "Multi-dimensional optimal trade execution under stochastic resilience," Finance and Stochastics, Springer, vol. 23(4), pages 889-923, October.
  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. Max O. Souza & Yuri Thamsten, 2021. "On regularized optimal execution problems and their singular limits," Papers 2101.02731, arXiv.org, revised Aug 2023.
  7. Guanxing Fu & Ulrich Horst, 2018. "Mean-Field Leader-Follower Games with Terminal State Constraint," Papers 1809.04401, arXiv.org.
  8. Guanxing Fu & Paul P. Hager & Ulrich Horst, 2023. "Mean-Field Liquidation Games with Market Drop-out," Papers 2303.05783, arXiv.org, revised Sep 2023.
  9. Fu, Guanxing & Horst, Ulrich & Xia, Xiaonyu, 2022. "Portfolio Liquidation Games with Self-Exciting Order Flow," Rationality and Competition Discussion Paper Series 327, CRC TRR 190 Rationality and Competition.
  10. 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.
  11. 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.
  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, 2022. "Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems," Papers 2206.03772, arXiv.org, revised Sep 2023.
  14. David Evangelista & Yuri Thamsten, 2023. "Approximately optimal trade execution strategies under fast mean-reversion," Papers 2307.07024, arXiv.org, revised Aug 2023.
  15. Guanxing Fu & Paul P. Hager & Ulrich Horst, 2024. "A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints," Papers 2403.10441, arXiv.org, revised Jul 2025.
  16. Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2020. "Optimal trade execution in an order book model with stochastic liquidity parameters," Papers 2006.05843, arXiv.org, revised Apr 2021.
  17. Guanxing Fu & Paul Hager & Ulrich Horst, 2024. "A Mean-Field Game of Market Entry," Rationality and Competition Discussion Paper Series 517, CRC TRR 190 Rationality and Competition.
  18. Guanxing Fu & Xiaomin Shi & Zuo Quan Xu, 2024. "A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching," Papers 2412.19058, arXiv.org, revised Jan 2025.
  19. Tao Chen & Mike Ludkovski & Moritz Vo{ss}, 2022. "On Parametric Optimal Execution and Machine Learning Surrogates," Papers 2204.08581, arXiv.org, revised Oct 2023.
  20. Siu, Chi Chung & Guo, Ivan & Zhu, Song-Ping & Elliott, Robert J., 2019. "Optimal execution with regime-switching market resilience," Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 17-40.
  21. 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.
  22. Ying Chen & Ulrich Horst & Hoang Hai Tran, 2019. "Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks," Papers 1912.06426, arXiv.org.
  23. Fu, Guanxing & Horst, Ulrich, 2018. "Mean-Field Leader-Follower Games with Terminal State Constraint," Rationality and Competition Discussion Paper Series 129, CRC TRR 190 Rationality and Competition.
  24. Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2020. "Portfolio Liquidation Games with Self-Exciting Order Flow," Papers 2011.05589, arXiv.org.
  25. repec:hal:wpaper:hal-03835948 is not listed on IDEAS
  26. 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.
  27. Qixuan Luo & Shijia Song & Handong Li, 2023. "Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1721-1750, December.
  28. Eduardo Abi Jaber & Eyal Neuman, 2022. "Optimal Liquidation with Signals: the General Propagator Case," Papers 2211.00447, arXiv.org, revised Sep 2025.
  29. Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2022. "Portfolio liquidation games with self‐exciting order flow," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1020-1065, October.
  30. Qianhui Lai & Qiang Yang, 2025. "Deep Learning Strategies for Intraday Optimal Carbon Options Trading with Price Impact Considerations," Mathematics, MDPI, vol. 13(7), pages 1-20, March.
  31. Marcel Nutz & Kevin Webster & Long Zhao, 2023. "Unwinding Stochastic Order Flow: When to Warehouse Trades," Papers 2310.14144, arXiv.org, revised Nov 2025.
  32. Steven Campbell & Marcel Nutz, 2025. "Optimal Execution among $N$ Traders with Transient Price Impact," Papers 2501.09638, arXiv.org.
  33. Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2020. "C\`adl\`ag semimartingale strategies for optimal trade execution in stochastic order book models," Papers 2006.05863, arXiv.org, revised Jul 2021.
  34. Marina Giacinto & Claudio Tebaldi & Tai-Ho Wang, 2024. "Optimal order execution under price impact: a hybrid model," Annals of Operations Research, Springer, vol. 336(1), pages 605-636, May.
  35. Eyal Neuman & Moritz Vo{ss}, 2020. "Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact," Papers 2002.09549, arXiv.org, revised Jan 2022.
  36. Steven Campbell & Marcel Nutz, 2025. "Randomization in Optimal Execution Games," Papers 2503.08833, arXiv.org.
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