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Optimal execution with non-linear transient market impact

Citations

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Cited by:

  1. Xiaoyue Li & John M. Mulvey, 2023. "Optimal Portfolio Execution in a Regime-switching Market with Non-linear Impact Costs: Combining Dynamic Program and Neural Network," Papers 2306.08809, arXiv.org.
  2. Alexander Barzykin & Fabrizio Lillo, 2019. "Optimal VWAP execution under transient price impact," Papers 1901.02327, arXiv.org, revised Jan 2019.
  3. Natascha Hey & Eyal Neuman & Sturmius Tuschmann, 2025. "Nonparametric Estimation of Self- and Cross-Impact," Papers 2510.06879, arXiv.org.
  4. 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).
  5. Hugo E. Ramirez & Juli'an Fernando Sanchez, 2023. "Optimal liquidation with temporary and permanent price impact, an application to cryptocurrencies," Papers 2303.10043, arXiv.org.
  6. Fengpei Li & Vitalii Ihnatiuk & Ryan Kinnear & Anderson Schneider & Yuriy Nevmyvaka, 2022. "Do price trajectory data increase the efficiency of market impact estimation?," Papers 2205.13423, arXiv.org, revised Mar 2023.
  7. Patrick Cheridito & Moritz Weiss, 2025. "Reinforcement Learning for Trade Execution with Market and Limit Orders," Papers 2507.06345, arXiv.org, revised Jan 2026.
  8. Charles-Albert Lehalle & Charafeddine Mouzouni, 2019. "A mean field game of portfolio trading and its consequences on perceived correlations," Working Papers hal-02003143, HAL.
  9. Eduardo Abi Jaber & Alessandro Bondi & Nathan De Carvalho & Eyal Neuman & Sturmius Tuschmann, 2025. "Fredholm Approach to Nonlinear Propagator Models," Papers 2503.04323, arXiv.org.
  10. Charles-Albert Lehalle & Eyal Neuman, 2019. "Incorporating signals into optimal trading," Finance and Stochastics, Springer, vol. 23(2), pages 275-311, April.
  11. Junjie Li & Yang Liu & Weiqing Liu & Shikai Fang & Lewen Wang & Chang Xu & Jiang Bian, 2024. "MarS: a Financial Market Simulation Engine Powered by Generative Foundation Model," Papers 2409.07486, arXiv.org, revised Mar 2025.
  12. Johannes Bleher & Michael Bleher, 2024. "An Algebraic Framework for the Modeling of Limit Order Books," Papers 2406.04969, arXiv.org.
  13. Bastien Baude & Damien Challet & Ioane Muni Toke, 2026. "Optimal execution on Uniswap v2/v3 under transient price impact," Papers 2601.03799, arXiv.org.
  14. Seungki Min & Costis Maglaras & Ciamac C. Moallemi, 2022. "Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution," Operations Research, INFORMS, vol. 70(2), pages 830-846, March.
  15. 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.
  16. Behzad Alimoradian & Karim Barigou & Anne Eyraud-Loisel, 2025. "Derivatives under market impact: Disentangling cost and information," Working Papers hal-03668432, HAL.
  17. Max O. Souza & Yuri Thamsten, 2021. "On regularized optimal execution problems and their singular limits," Papers 2101.02731, arXiv.org, revised Aug 2023.
  18. Yang Li & Zhi Chen, 2025. "FlowOE: Imitation Learning with Flow Policy from Ensemble RL Experts for Optimal Execution under Heston Volatility and Concave Market Impacts," Papers 2506.05755, arXiv.org.
  19. Jasdeep Kalsi & Terry Lyons & Imanol Perez Arribas, 2019. "Optimal execution with rough path signatures," Papers 1905.00728, arXiv.org.
  20. Zequn Li & Agnès Tourin, 2022. "A Finite Difference Scheme for Pairs Trading with Transaction Costs," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 601-632, August.
  21. Hong Liu & Shuaijie Qian & Jing Xu, 2025. "Optimal Trading with Speed-Dependent Transaction Cost Rates: A Flexible Framework," Operations Research, INFORMS, vol. 73(6), pages 2933-2952, November.
  22. Ying Chen & Ulrich Horst & Hoang Hai Tran, 2026. "Optimal Trade Execution Under Endogenous Order Flow," Operations Research, INFORMS, vol. 74(1), pages 72-92, January.
  23. Johannes Muhle-Karbe & Zexin Wang & Kevin Webster, 2024. "Stochastic Liquidity as a Proxy for Nonlinear Price Impact," Operations Research, INFORMS, vol. 72(2), pages 444-458, March.
  24. Thibault Jaisson, 2021. "Deep differentiable reinforcement learning and optimal trading," Papers 2112.02944, arXiv.org, revised Apr 2022.
  25. Patrick Cheridito & Jean-Loup Dupret & Zhexin Wu, 2025. "ABIDES-MARL: A Multi-Agent Reinforcement Learning Environment for Endogenous Price Formation and Execution in a Limit Order Book," Papers 2511.02016, arXiv.org.
  26. H Ramirez & J. F Sanchez, 2023. "Optimal liquidation with temporary and permanent price impact, an application to cryptocurrencies," Documentos de Trabajo 20669, Universidad del Rosario.
  27. Yusuke Morimoto, 2024. "Optimal Execution Strategies Incorporating Internal Liquidity Through Market Making," Papers 2501.07581, arXiv.org, revised May 2025.
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