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Optimal trading with linear costs
6 references·0 citing·26 second hop
Optimal trading with linear costs (2012)Optimal trading with linear costsAnomalous Price Impact and the Critical Nature of Liquidity in Financial Markets (2011)Anomalous Price Impact and th…Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Optimal execution with nonlin…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimal Investment and Consumption with Transaction Costs (1994)Optimal Investment and Consum…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)Scaling of the distribution of fluctuations of financial market indices (1999)Critical reflexivity in financial markets: a Hawkes process analysis (2013)Why is equity order flow so persistent? (2014)A fully consistent, minimal model for non-linear market impact (2015)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Optimal Investment with Costly Reversibility (1996)Brownian Motion and Stochastic Calculus (2007)Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns (2009)Optimal trading strategy and supply/demand dynamics (2012)Common stock repurchases (1981)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)Coherent Measures of Risk (1999)Direct Estimation of Equity Market Impact (2005)Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets (2008)Optimal execution strategies in limit order books with general shape functions (2009)Optimal control of execution costs (1998)Corporate Yield Spreads and Bond Liquidity (2007)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)
this work references cited by second hop

References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1994Optimal Investment and Consumption with Transaction Costs622 cited
  • 2003Optimal execution with nonlinear impact functions and trading-enhanced risk466 cited
  • 2011Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets229 cited

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