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Optimal Trade Execution And Price Manipulation In Order Books With Time-Varying Liquidity

Citations

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Cited by:

  1. 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.
  2. 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, revised Mar 2026.
  3. 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.
  4. 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.
  5. Kashyap, Ravi, 2020. "David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  6. 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.
  7. Wu, Liang & Yan, Xin & Fu, Zhiming & Zhang, Rui, 2019. "Do investors choose trade-size according to liquidity, empirical evidence from the S&P 500 index future market," Finance Research Letters, Elsevier, vol. 28(C), pages 275-280.
  8. Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2020. "Portfolio Liquidation Games with Self-Exciting Order Flow," Papers 2011.05589, arXiv.org.
  9. 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.
  10. 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.
  11. 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.
  12. Da Fonseca, José & Malevergne, Yannick, 2021. "A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
  13. Ulrich Horst & Xiaonyu Xia, 2019. "Multi-dimensional optimal trade execution under stochastic resilience," Finance and Stochastics, Springer, vol. 23(4), pages 889-923, October.
  14. Aurélien Alfonsi & José Infante Acevedo, 2014. "Optimal execution and price manipulations in time-varying limit order books," Post-Print hal-00687193, HAL.
  15. Ningyuan Chen & Steven Kou & Chun Wang, 2018. "A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure," Management Science, INFORMS, vol. 64(2), pages 784-803, February.
  16. Guanxing Fu & Paul P. Hager & Ulrich Horst, 2023. "Mean-Field Liquidation Games with Market Drop-out," Papers 2303.05783, arXiv.org, revised Sep 2023.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. Tao Chen & Mike Ludkovski & Moritz Vo{ss}, 2022. "On Parametric Optimal Execution and Machine Learning Surrogates," Papers 2204.08581, arXiv.org, revised Oct 2023.
  22. 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.
  23. Alimoradian, Behzad & Barigou, Karim & Eyraud-Loisel, Anne, 2025. "Derivatives under Market Impact: Disentangling Cost and Information," LIDAM Discussion Papers ISBA 2025002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  24. 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.
  25. Aurélien Alfonsi & Florian Klöck & Alexander Schied, 2016. "Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions," Mathematics of Operations Research, INFORMS, vol. 41(3), pages 914-934, August.
  26. Steven Campbell & Marcel Nutz, 2025. "Optimal Execution among $N$ Traders with Transient Price Impact," Papers 2501.09638, arXiv.org, revised May 2026.
  27. 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.
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