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OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH
16 references·7 citing·52 second hop
OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (2013)OPTIMAL EXECUTION OF A VWAP ORDER: A STOC…The Price Impact of Order Book Events (2013)The Price Impact of Order Boo…Dynamical Models of Market Impact and Algorithms for Order Execution (2013)Dynamical Models of Market Im…Optimal Trading with Stochastic Liquidity and Volatility (2012)Optimal Trading with Stochast…OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)OPTIMAL TRADE EXECUTION UNDER…No-dynamic-arbitrage and market impact (2010)No-dynamic-arbitrage and mark…A General Theory of Markovian Time Inconsistent Stochastic Control Problems (2010)A General Theory of Markovian…Direct Estimation of Equity Market Impact (2005)Direct Estimation of Equity M…Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimal control of execution costs (1998)Optimal control of execution …The Total Cost of Transactions on the NYSE (1988)The Total Cost of Transaction…Transaction Data Tests of the Mixture of Distributions Hypothesis (1987)Transaction Data Tests of the…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics (2022)Multi-asset Optimal Execution…Trading algorithms with learning in latent alpha models (2018)Trading algorithms with learn…Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint (2018)Linear Quadratic Stochastic C…Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes (2018)Algorithmic Trading, Stochast…Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications (2016)Linear quadratic optimal cont…A Closed-Form Execution Strategy to Target Volume Weighted Average Price (2016)A Closed-Form Execution Strat…VWAP Execution and Guaranteed VWAP (2014)VWAP Execution and Guaranteed…Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)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)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Common factors in prices, order flows, and liquidity (2001)Stealth-trading: Which traders' trades move stock prices? (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The econometrics of ultra-high frequency data /Stock returns and the weekend effect (1980)Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)The Dependence between Hourly Prices and Trading Volume (1988)Statistical properties of the volatility of price fluctuations (1999)Gain, Loss, and Asset Pricing (2000)How Markets Slowly Digest Changes in Supply and Demand (2009)Limit order books (2013)Stability analysis of financial contagion due to overlapping portfolios (2014)Active Portfolio Management (2017)The Analysis of Economic Time-Series-Part I: Prices (1953)Some New Stock-Market Indexes (1966)Risk measurement when shares are subject to infrequent trading (1979)Predicting stock market volatility: A new measure (1995)High frequency data in financial markets: Issues and applications (1997)Multifractal analysis of financial markets: a review (2019)The Behavior of Stock Prices Around Institutional Trades (1995)The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)Optimization Methods in Finance (2006)Market impact and trading profile of hidden orders in stock markets (2009)Market Microstructure Invariance: Empirical Hypotheses (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)Myopia and Inconsistency in Dynamic Utility Maximization (1955)Myopia and Inconsistency in Dynamic Utility Maximization (1973)A Maximum Principle for SDEs of Mean-Field Type (2010)Dynamic Mean-Variance Asset Allocation (2010)Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations (2013)On time-inconsistent stochastic control in continuous time (2017)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Inefficient Markets (2000)Empirical properties of asset returns: stylized facts and statistical issues (2001)The Long Memory of the Efficient Market (2004)What really causes large price changes? (2004)An empirical behavioral model of liquidity and volatility (2007)Stock Market Structure and Volatility (1990)Trade Size and Components of the Bid-Ask Spread (1995)
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References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1998Optimal control of execution costs1,056 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks534 cited
  • 2010No-dynamic-arbitrage and market impact402 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes370 cited
  • 2005Direct Estimation of Equity Market Impact363 cited
  • 2013The Price Impact of Order Book Events348 cited
  • 2010A General Theory of Markovian Time Inconsistent Stochastic Control Problems343 cited
  • 1987Transaction Data Tests of the Mixture of Distributions Hypothesis321 cited
  • 1988The Total Cost of Transactions on the NYSE316 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes295 cited
  • 2011OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK204 cited
  • 2012Optimal Trading with Stochastic Liquidity and Volatility146 cited

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  • 2013Dynamical Models of Market Impact and Algorithms for Order Execution140 cited
  • Cited by

    • 2016Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications62 cited
    • 2016A Closed-Form Execution Strategy to Target Volume Weighted Average Price58 cited
    • 2018Trading algorithms with learning in latent alpha models44 cited
    • 2014VWAP Execution and Guaranteed VWAP37 cited
    • 2018Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes34 cited
    • 2018Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint30 cited
    • 2022Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics27 cited