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Optimal trade execution and absence of price manipulations in limit order book models

Citations

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Cited by:

  1. Charles-Albert Lehalle, 2013. "Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process," Papers 1302.4592, arXiv.org.
  2. 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.
  3. Olivier Guéant & Charles-Albert Lehalle, 2015. "General Intensity Shapes In Optimal Liquidation," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 457-495, July.
  4. 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.
  5. Erhan Bayraktar & Michael Ludkovski, 2014. "Liquidation In Limit Order Books With Controlled Intensity," Mathematical Finance, Wiley Blackwell, vol. 24(4), pages 627-650, October.
  6. Alexander Schied & Tao Zhang, 2013. "A market impact game under transient price impact," Papers 1305.4013, arXiv.org, revised May 2017.
  7. repec:exl:2manag:v:17:y:2016:i:2:p:241-260 is not listed on IDEAS
  8. Samuel N. Cohen & Lukasz Szpruch, 2011. "A limit order book model for latency arbitrage," Papers 1110.4811, arXiv.org.
  9. Qinghua Li, 2014. "Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context," Papers 1404.7320, arXiv.org, revised Jan 2015.
  10. Justin Sirignano, 2016. "Deep Learning for Limit Order Books," Papers 1601.01987, arXiv.org, revised Jul 2016.
  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. 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.
  13. Takashi Kato, 2011. "An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process," Papers 1107.1787, arXiv.org, revised Jul 2014.
  14. repec:hal:wpaper:hal-00687193 is not listed on IDEAS
  15. repec:kap:apfinm:v:24:y:2017:i:2:d:10.1007_s10690-017-9226-1 is not listed on IDEAS
  16. 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.
  17. Aurélien Alfonsi & José Infante Acevedo, 2014. "Optimal execution and price manipulations in time-varying limit order books," Post-Print hal-00687193, HAL.
  18. 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.
  19. Dirk Becherer & Todor Bilarev & Peter Frentrup, 2015. "Optimal Asset Liquidation with Multiplicative Transient Price Impact," Papers 1501.01892, arXiv.org, revised Apr 2017.
  20. A. Sadoghi & J. Vecer, 2015. "Optimum Liquidation Problem Associated with the Poisson Cluster Process," Papers 1507.06514, arXiv.org, revised Dec 2015.
  21. Kyle Bechler & Michael Ludkovski, 2017. "Order Flows and Limit Order Book Resiliency on the Meso-Scale," Papers 1708.02715, arXiv.org.
  22. Aur'elien Alfonsi & Jos'e Infante Acevedo, 2012. "Optimal execution and price manipulations in time-varying limit order books," Papers 1204.2736, arXiv.org.
  23. Peter Kratz & Torsten Schöneborn, 2014. "Optimal liquidation in dark pools," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1519-1539, September.
  24. Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011. "Dealing with the Inventory Risk. A solution to the market making problem," Papers 1105.3115, arXiv.org, revised Aug 2012.
  25. Kyle Bechler & Mike Ludkovski, 2014. "Optimal Execution with Dynamic Order Flow Imbalance," Papers 1409.2618, arXiv.org, revised Oct 2014.
  26. Takashi Kato, 2014. "An optimal execution problem with market impact," Finance and Stochastics, Springer, vol. 18(3), pages 695-732, July.
  27. Olivier Gu'eant, 2013. "Permanent market impact can be nonlinear," Papers 1305.0413, arXiv.org, revised Mar 2014.
  28. 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.
  29. Aurélien Alfonsi & Alexander Schied, 2013. "Capacitary measures for completely monotone kernels via singular control," Post-Print hal-00659421, HAL.
  30. Masashi Ieda, 2015. "A dynamic optimal execution strategy under stochastic price recovery," Papers 1502.04521, arXiv.org.
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