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Optimal Execution Strategies in Limit Order Books with General Shape Functions
13 references·12 citing·41 second hopsampled
Optimal Execution Strategies in Limit Order Books with General Shape Functions (2009)Optimal Execution Strategies in Limit Ord…Liquidity Risk and Arbitrage Pricing Theory (2010)Liquidity Risk and Arbitrage …Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets (2008)Risk aversion and the dynamic…Episodic Liquidity Crises: Cooperative and Predatory Trading (2007)Episodic Liquidity Crises: Co…Predatory Trading (2005)Predatory TradingOrder book approach to price impact (2005)Order book approach to price …Optimal Trading Strategy and Supply/Demand Dynamics (2005)Optimal Trading Strategy and …Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Optimal execution with nonlin…More statistical properties of order books and price impact (2003)More statistical properties o…Hedging and Portfolio Optimization in Financial Markets with a Large Trader (2003)Hedging and Portfolio Optimiz…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimal control of execution costs (1998)Optimal control of execution …An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Mean-Field Game Strategies for Optimal Execution (2019)Mean-Field Game Strategies fo…A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure (2017)A Partitioning Algorithm for …Reducing Transaction Costs with Low-Latency Trading Algorithms (2015)Reducing Transaction Costs wi…Optimal execution with limit and market orders (2015)Optimal execution with limit …Strategic execution in the presence of an uninformed arbitrageur (2012)Strategic execution in the pr…Portfolio Liquidation in Dark Pools in Continuous Time (2012)Portfolio Liquidation in Dark…Optimal Order Placement in Limit Order Markets (2012)Optimal Order Placement in Li…RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY (2011)RESILIENT PRICE IMPACT OF TRA…Optimal Trade Execution and Price Manipulation in Order Books with Time-Varying Liquidity (2011)Optimal Trade Execution and P…Optimal Liquidation in Dark Pools (2009)Optimal Liquidation in Dark P…Constrained portfolio liquidation in a limit order book model (2008)Constrained portfolio liquida…Liquidation in the Face of Adversity: Stealth vs. Sunshine Trading (2007)Liquidation in the Face of Ad…Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? 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References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1998Optimal control of execution costs1,056 cited
  • 2005Predatory Trading588 cited
  • 2003Optimal execution with nonlinear impact functions and trading-enhanced risk466 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes295 cited
  • 2003More statistical properties of order books and price impact289 cited
  • 2010Liquidity Risk and Arbitrage Pricing Theory273 cited
  • 2007Episodic Liquidity Crises: Cooperative and Predatory Trading271 cited
  • 2008Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets232 cited
  • 2003Hedging and Portfolio Optimization in Financial Markets with a Large Trader226 cited
  • 2005Optimal Trading Strategy and Supply/Demand Dynamics222 cited
  • 2005Order book approach to price impact169 cited

Cited by

  • 2015Optimal execution with limit and market orders92 cited
  • 2019Mean-Field Game Strategies for Optimal Execution79 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2008Constrained portfolio liquidation in a limit order book model76 cited
  • 2007Liquidation in the Face of Adversity: Stealth vs. Sunshine Trading57 cited
  • 2011RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY49 cited
  • 2012Strategic execution in the presence of an uninformed arbitrageur43 cited
  • 2009Optimal Liquidation in Dark Pools34 cited
  • 2012Optimal Order Placement in Limit Order Markets34 cited
  • 2017A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure33 cited
  • 2012Portfolio Liquidation in Dark Pools in Continuous Time29 cited
  • 2015Reducing Transaction Costs with Low-Latency Trading Algorithms27 cited
  • 2011Optimal Trade Execution and Price Manipulation in Order Books with Time-Varying Liquidity27 cited