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Optimal Execution with Dynamic Order Flow Imbalance
16 references·0 citing·42 second hop
Optimal Execution with Dynamic Order Flow Imbalance (2015)Optimal Execution with Dynamic Order Flow…Active Portfolio Management (2017)Active Portfolio ManagementThe Price Impact of Order Book Events (2013)The Price Impact of Order Boo…Optimal Trading with Stochastic Liquidity and Volatility (2012)Optimal Trading with Stochast…Optimal Portfolio Liquidation with Limit Orders (2012)Optimal Portfolio Liquidation…Optimal high-frequency trading with limit and market orders (2012)Optimal high-frequency tradin…Flow Toxicity and Liquidity in a High-frequency World (2012)Flow Toxicity and Liquidity i…TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS (2011)TRANSIENT LINEAR PRICE IMPACT…The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading (2011)The Microstructure of the “Fl…The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Flash Crash: High-Frequen…Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem (2011)Order Book Resilience, Price …OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)OPTIMAL TRADE EXECUTION UNDER…Buy Low Sell High: A High Frequency Trading Perspective (2011)Buy Low Sell High: A High Fre…Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models (2010)Optimal Trade Execution and A…How Markets Slowly Digest Changes in Supply and Demand (2009)How Markets Slowly Digest Cha…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…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Market Liquidity and Funding Liquidity (2008)High frequency market microstructure (2015)The Economics of High-Frequency Trading: Taking Stock (2016)Why Do Individual Investors Disregard Accounting Information? The Roles of Information Awareness and Acquisition Costs (2017)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)Fractional Brownian Motions, Fractional Noises and Applications (1968)Power Laws in Economics and Finance (2008)No-dynamic-arbitrage and market impact (2010)Power Laws in Economics: An Introduction (2016)Liquidity Risk and Expected Stock Returns (2003)Limit order books (2013)News Trading and Speed (2015)Optimal control of execution costs (1998)Optimal trade execution: A mean quadratic variation approach (2012)Dynamical Models of Market Impact and Algorithms for Order Execution (2013)Dynamic portfolio choice with frictions (2016)The Relation Between Price Changes and Trading Volume: A Survey (1987)Inferring Trade Direction from Intraday Data (1991)Hawkes model for price and trades high-frequency dynamics (2014)Price Discovery without Trading: Evidence from Limit Orders (2019)Universal features of price formation in financial markets: perspectives from deep learning (2019)Price, trade size, and information in securities markets (1987)Time and the Process of Security Price Adjustment (1992)Liquidity, Information, and Infrequently Traded Stocks (1996)Fact or friction: Jumps at ultra high frequency (2014)What's Not There: Odd Lots and Market Data (2014)Optimal dealer pricing under transactions and return uncertainty (1981)Market microstructure theory (1995)Modelling high-frequency limit order book dynamics with support vector machines (2015)Incorporating order-flow into optimal execution (2016)The Information Ratio (1998)DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)
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References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 2012Flow Toxicity and Liquidity in a High-frequency World573 cited
  • 2003Optimal execution with nonlinear impact functions and trading-enhanced risk466 cited
  • 2017Active Portfolio Management463 cited
  • 2009How Markets Slowly Digest Changes in Supply and Demand442 cited
  • 2011The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading389 cited
  • 2011The Flash Crash: High-Frequency Trading in an Electronic Market388 cited
  • 2013The Price Impact of Order Book Events348 cited
  • 2011OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK204 cited
  • 2011Buy Low Sell High: A High Frequency Trading Perspective199 cited
  • 2011TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS186 cited
  • 2012Optimal high-frequency trading with limit and market orders184 cited
  • 2012Optimal Portfolio Liquidation with Limit Orders155 cited
  • 2012Optimal Trading with Stochastic Liquidity and Volatility146 cited
  • 2011Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem140 cited

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  • 2010Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models118 cited
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