Optimal trade execution and absence of price manipulations in limit order book models
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- Charles-Albert Lehalle, 2013. "Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process," Papers 1302.4592, arXiv.org.
- Florian Klock & Alexander Schied & Yuemeng Sun, 2012. "Price manipulation in a market impact model with dark pool," Papers 1205.4008, arXiv.org, revised May 2014.
- Olivier Guéant & Charles-Albert Lehalle, 2015. "General Intensity Shapes In Optimal Liquidation," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 457-495, July.
- Kühn, Christoph & Stroh, Maximilian, 2013. "Continuous time trading of a small investor in a limit order market," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2011-2053.
- Erhan Bayraktar & Michael Ludkovski, 2014.
"Liquidation In Limit Order Books With Controlled Intensity,"
Wiley Blackwell, vol. 24(4), pages 627-650, October.
- Erhan Bayraktar & Michael Ludkovski, 2011. "Liquidation in Limit Order Books with Controlled Intensity," Papers 1105.0247, arXiv.org, revised Jan 2012.
- Alexander Schied & Tao Zhang, 2013. "A market impact game under transient price impact," Papers 1305.4013, arXiv.org, revised May 2017.
- repec:exl:2manag:v:17:y:2016:i:2:p:241-260 is not listed on IDEAS
- Samuel N. Cohen & Lukasz Szpruch, 2011. "A limit order book model for latency arbitrage," Papers 1110.4811, arXiv.org.
- Qinghua Li, 2014. "Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context," Papers 1404.7320, arXiv.org, revised Jan 2015.
- Justin Sirignano, 2016. "Deep Learning for Limit Order Books," Papers 1601.01987, arXiv.org, revised Jul 2016.
- 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.
- Aur'elien Alfonsi & Pierre Blanc, 2014. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Papers 1404.0648, arXiv.org, revised Jun 2015.
- Takashi Kato, 2011. "An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process," Papers 1107.1787, arXiv.org, revised Jul 2014.
- repec:hal:wpaper:hal-00687193 is not listed on IDEAS
- repec:kap:apfinm:v:24:y:2017:i:2:d:10.1007_s10690-017-9226-1 is not listed on IDEAS
- Aur'elien Alfonsi & Alexander Schied & Florian Klock, 2013. "Multivariate transient price impact and matrix-valued positive definite functions," Papers 1310.4471, arXiv.org, revised Sep 2015.
- Aurélien Alfonsi & José Infante Acevedo, 2014. "Optimal execution and price manipulations in time-varying limit order books," Post-Print hal-00687193, HAL.
- Henryk Gurgul & Robert Syrek & Christoph Mitterer, 2016.
"Price duration versus trading volume in high-frequency data for selected DAX companies,"
AGH University of Science and Technology, vol. 17(2), pages 241-260, December.
- Henryk Gurgul & Robert Syrek & Christoph Mitterer, 2016. "Price duration versus trading volume in high-frequency data for selected DAX companies," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 17(2), pages 241-260.
- Dirk Becherer & Todor Bilarev & Peter Frentrup, 2015. "Optimal Asset Liquidation with Multiplicative Transient Price Impact," Papers 1501.01892, arXiv.org, revised Apr 2017.
- A. Sadoghi & J. Vecer, 2015. "Optimum Liquidation Problem Associated with the Poisson Cluster Process," Papers 1507.06514, arXiv.org, revised Dec 2015.
- Kyle Bechler & Michael Ludkovski, 2017. "Order Flows and Limit Order Book Resiliency on the Meso-Scale," Papers 1708.02715, arXiv.org.
- Aur'elien Alfonsi & Jos'e Infante Acevedo, 2012. "Optimal execution and price manipulations in time-varying limit order books," Papers 1204.2736, arXiv.org.
- Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011.
"Dealing with the Inventory Risk. A solution to the market making problem,"
1105.3115, arXiv.org, revised Aug 2012.
- Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2013. "Dealing with the Inventory Risk. A solution to the market making problem," Post-Print hal-01393110, HAL.
- Kyle Bechler & Mike Ludkovski, 2014. "Optimal Execution with Dynamic Order Flow Imbalance," Papers 1409.2618, arXiv.org, revised Oct 2014.
- Takashi Kato, 2014. "An optimal execution problem with market impact," Finance and Stochastics, Springer, vol. 18(3), pages 695-732, July.
- Olivier Gu'eant, 2013. "Permanent market impact can be nonlinear," Papers 1305.0413, arXiv.org, revised Mar 2014.
- Masashi Ieda, 2015. "A dynamic optimal execution strategy under stochastic price recovery," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-24, December.
- Aurélien Alfonsi & Alexander Schied, 2013. "Capacitary measures for completely monotone kernels via singular control," Post-Print hal-00659421, HAL.
- Masashi Ieda, 2015. "A dynamic optimal execution strategy under stochastic price recovery," Papers 1502.04521, arXiv.org.