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Optimal Signal-Adaptive Trading with Temporary and 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. Masamitsu Ohnishi & Makoto Shimoshimizu, 2024. "Trade execution games in a Markovian environment," Papers 2405.07184, arXiv.org.
  3. Eyal Neuman & Yufei Zhang, 2023. "Statistical Learning with Sublinear Regret of Propagator Models," Papers 2301.05157, arXiv.org, revised Jan 2025.
  4. Eduardo Abi Jaber & Alessandro Bondi & Nathan De Carvalho & Eyal Neuman & Sturmius Tuschmann, 2025. "Fredholm Approach to Nonlinear Propagator Models," Papers 2503.04323, arXiv.org.
  5. Ryan Donnelly & Junhan Lin & Matthew Lorig, 2026. "Optimal Liquidation of Perpetual Contracts," Papers 2601.10812, arXiv.org.
  6. 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.
  7. 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.
  8. Alexander Barzykin, 2026. "Market Making and Transient Impact in Spot FX," Papers 2601.13421, arXiv.org, revised Jun 2026.
  9. Robert Boyce & Eyal Neuman, 2026. "Competition in Dealer Markets with Internalisation and Externalisation," Papers 2606.06413, arXiv.org.
  10. Alif Aqsha & Fayc{c}al Drissi & Leandro S'anchez-Betancourt, 2024. "Strategic Learning and Trading in Broker-Mediated Markets," Papers 2412.20847, arXiv.org, revised Jan 2026.
  11. Tao Chen & Mike Ludkovski & Moritz Vo{ss}, 2022. "On Parametric Optimal Execution and Machine Learning Surrogates," Papers 2204.08581, arXiv.org, revised Oct 2023.
  12. Konstantinos Chatziandreou & Sven Karbach, 2025. "Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact," Papers 2504.10282, arXiv.org, revised Nov 2025.
  13. Rama Cont & Alessandro Micheli & Eyal Neuman, 2025. "Fast and slow optimal trading with exogenous information," Finance and Stochastics, Springer, vol. 29(2), pages 553-607, April.
  14. Emilio Barucci & Adrien Mathieu & Leandro S'anchez-Betancourt, 2025. "Market Making with Fads, Informed, and Uninformed Traders," Papers 2501.03658, arXiv.org, revised Jun 2026.
  15. Eduardo Abi Jaber & Eyal Neuman & Moritz Voss, 2023. "Equilibrium in Functional Stochastic Games with Mean-Field Interaction," Working Papers hal-04119787, HAL.
  16. Rama Cont & Alessandro Micheli & Eyal Neuman, 2022. "Fast and Slow Optimal Trading with Exogenous Information," Papers 2210.01901, arXiv.org, revised Jun 2023.
  17. repec:hal:wpaper:hal-03835948 is not listed on IDEAS
  18. Eduardo Abi Jaber & Eyal Neuman, 2022. "Optimal Liquidation with Signals: the General Propagator Case," Papers 2211.00447, arXiv.org, revised Sep 2025.
  19. Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2024. "A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies," Mathematics of Operations Research, INFORMS, vol. 49(4), pages 2356-2384, November.
  20. Eduardo Abi Jaber & Eyal Neuman & Moritz Vo{ss}, 2023. "Equilibrium in Functional Stochastic Games with Mean-Field Interaction," Papers 2306.05433, arXiv.org, revised Jul 2026.
  21. 'Alvaro Cartea & Sebastian Jaimungal & Leandro S'anchez-Betancourt, 2024. "Nash Equilibrium between Brokers and Traders," Papers 2407.10561, arXiv.org, revised Jul 2025.
  22. Eyal Neuman & Moritz Voß, 2023. "Trading with the crowd," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 548-617, July.
  23. Philippe Bergault & Fayc{c}al Drissi & Olivier Gu'eant, 2021. "Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics," Papers 2103.13773, arXiv.org, revised Mar 2022.
  24. Steven Campbell & Marcel Nutz, 2025. "Optimal Execution among $N$ Traders with Transient Price Impact," Papers 2501.09638, arXiv.org, revised May 2026.
  25. 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.
  26. Damiano Brigo & Federico Graceffa & Eyal Neuman, 2022. "Price impact on term structure," Quantitative Finance, Taylor & Francis Journals, vol. 22(1), pages 171-195, January.
  27. Alexander Barzykin & Robert Boyce & Eyal Neuman, 2024. "Unwinding Toxic Flow with Partial Information," Papers 2407.04510, arXiv.org.
  28. Joseph Jerome & Leandro Sanchez-Betancourt & Rahul Savani & Martin Herdegen, 2022. "Model-based gym environments for limit order book trading," Papers 2209.07823, arXiv.org.
  29. Steven Campbell & Marcel Nutz, 2025. "Randomization in Optimal Execution Games," Papers 2503.08833, arXiv.org, revised May 2026.
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