Optimal Trading Strategy and Supply/Demand DynamicsAnna A. Obizhaeva, Jiang Wang2005-01-01preprintSSRN Electronic Journal222 citationsgreenNo readable copy stored yet — this record is metadata only.Financial Markets and Investment StrategiesStochastic processes and financial applicationsComplex Systems and Time Series AnalysisAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 222 citations exist upstream.References1988A Theory of Intraday Patterns: Volume and Price Variability2001Optimal execution of portfolio transactions1986Do Demand Curves for Stocks Slope Down?1995Market microstructure theory1992Time and the Process of Security Price Adjustment1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse2001Common factors in prices, order flows, and liquidity1998Optimal control of execution costsCited by2016Dynamic portfolio choice with frictions2010Optimal Basket Liquidation for CARA Investors is Deterministic2013Dynamical Models of Market Impact and Algorithms for Order Execution2011Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem2012LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY2012Measuring and Modeling Execution Cost and Risk2010THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING2011Statistical Modeling of High-Frequency Financial Data