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Optimal control of execution costs for portfolios
14 references·12 citing·38 second hop
Optimal control of execution costs for portfolios (1999)Optimal control of execution costs for po…Optimal control of execution costs (1998)Optimal control of execution …The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)The Upstairs Market for Large…The Behavior of Stock Prices Around Institutional Trades (1995)The Behavior of Stock Prices …Anatomy of the trading process empirical evidence on the behavior of institutional traders (1995)Anatomy of the trading proces…Stealth trading and volatility (1993)Stealth trading and volatilityInstitutional trades and intraday stock price behavior (1993)Institutional trades and intr…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Large-block transactions, the speed of response, and temporary and permanent stock-price effects (1990)Large-block transactions, the…The implementation shortfall (1988)The implementation shortfallAnnouncement effects of new equity issues and the use of intraday price data (1988)Announcement effects of new e…The effect of large block transactions on security prices: A cross-sectional analysis (1987)The effect of large block tra…Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…Trading Cost: The Critical Link Between Investment Information and Results (1983)Trading Cost: The Critical Li…PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)PRICE IMPACTS OF BLOCK TRADIN…OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT (2018)OPTIMAL LIQUIDATION UNDER STO…Dynamic Portfolio Execution (2017)Dynamic Portfolio ExecutionAdaptive basket liquidation (2016)Adaptive basket liquidationOptimal Execution with Multiplicative Price Impact (2015)Optimal Execution with Multip…Fairness and Efficiency in Multiportfolio Optimization (2014)Fairness and Efficiency in Mu…Optimal execution under jump models for uncertain price impact (2013)Optimal execution under jump …High frequency trading, liquidity, and execution cost (2013)High frequency trading, liqui…Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation (2012)Generalized stochastic target…Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters (2010)Optimal Portfolio Execution S…Rigorous Strategic Trading: Balanced Portfolio and Mean-Reversion (2009)Rigorous Strategic Trading: B…The Dynamics of the Hedge Fund Industry (2005)The Dynamics of the Hedge Fun…Applying Operations Research Techniques to Financial Markets (2003)Applying Operations Research …The market for corporate control (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Stealth-trading: Which traders' trades move stock prices? (2001)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? (2008)Efficient Capital Markets: II (1991)Inferring Trade Direction from Intraday Data (1991)Presidential Address: Friction (2000)The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers (2000)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Common factors in prices, order flows, and liquidity (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Noise (1986)The determinants of cross-border equity flows (2004)An Engine, Not a Camera (2006)The cost of capital, corporation finance and the theory of investment (2008)Information Effects on the Bid-Ask Spread (1983)An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs (1991)Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy (1996)Issues in assessing trade execution costs (2003)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Insider Trading and the Efficiency of Stock Prices (1992)Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)Estimating the components of the bid/ask spread (1988)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Are Momentum Profits Robust to Trading Costs? (2004)Pricing the commonality across alternative measures of liquidity (2007)Price, trade size, and information in securities markets (1987)Optimal trading strategy and supply/demand dynamics (2012)Do Industries Explain Momentum? (1999)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)
this work references cited by second hop

References

  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited
  • 1998Optimal control of execution costs1,056 cited
  • 1993Stealth trading and volatility948 cited
  • 1995The Behavior of Stock Prices Around Institutional Trades794 cited
  • 1972PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE671 cited
  • 1993Institutional trades and intraday stock price behavior626 cited
  • 1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects601 cited
  • 1987The effect of large block transactions on security prices: A cross-sectional analysis464 cited
  • 1988The implementation shortfall441 cited
  • 1995Anatomy of the trading process empirical evidence on the behavior of institutional traders435 cited
  • 1990Large-block transactions, the speed of response, and temporary and permanent stock-price effects430 cited
  • 1988Announcement effects of new equity issues and the use of intraday price data289 cited
  • 1983Trading Cost: The Critical Link Between Investment Information and Results167 cited

Cited by

  • 2017Dynamic Portfolio Execution

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42 cited
  • 2015Optimal Execution with Multiplicative Price Impact40 cited
  • 2003Applying Operations Research Techniques to Financial Markets35 cited
  • 2014Fairness and Efficiency in Multiportfolio Optimization31 cited
  • 2012Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation30 cited
  • 2010Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters26 cited
  • 2018OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT24 cited
  • 2013Optimal execution under jump models for uncertain price impact22 cited
  • 2013High frequency trading, liquidity, and execution cost22 cited
  • 2016Adaptive basket liquidation22 cited
  • 2005The Dynamics of the Hedge Fund Industry19 cited
  • 2009Rigorous Strategic Trading: Balanced Portfolio and Mean-Reversion18 cited