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Optimal Execution Strategies in Limit Order Books with General Shape Functions · Study

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PreprintOptimal Execution Strategies in Limit Order Books with General Shape Functions

Aurélien Alfonsi2009

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Preprintgreen2009

Optimal Execution Strategies in Limit Order Books with General Shape Functions

Aurélien Alfonsi · Antje Fruth · Alexander Schied

115 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

2001Optimal execution of portfolio transactions 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse 1998Optimal control of execution costs 2005Predatory Trading 2003Optimal execution with nonlinear impact functions and trading-enhanced risk 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes 2003More statistical properties of order books and price impact 2010Liquidity Risk and Arbitrage Pricing Theory

Cited by

2015Optimal execution with limit and market orders 2019Mean-Field Game Strategies for Optimal Execution 2008Constrained portfolio liquidation in a limit order book model 2007Liquidation in the Face of Adversity: Stealth vs. Sunshine Trading 2011RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY 2012Strategic execution in the presence of an uninformed arbitrageur

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2013Dynamical Models of Market Impact and Algorithms for Order Executionchapter · 11 shared references 2010Optimal Basket Liquidation for CARA Investors is Deterministicarticle · 9 shared references 2008Constrained portfolio liquidation in a limit order book modelother · 9 shared references 2007Liquidation in the Face of Adversity: Stealth vs. Sunshine Tradingpreprint · 9 shared references 2010Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Modelsarticle · 7 shared references 2008Advances in Mathematics of Financeother · 7 shared references

Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations115

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1510104

openalex_workW2113516281

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2009

Optimal Liquidation in Dark Pools

2012Optimal Order Placement in Limit Order Markets