SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION
11 references·3 citing·41 second hopsampled
A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION (2015)A STATE‐CONSTRAINED DIFFERENTIAL GAME ARI…Dynamical Models of Market Impact and Algorithms for Order Execution (2013)Dynamical Models of Market Im…Strategic execution in the presence of an uninformed arbitrageur (2012)Strategic execution in the pr…Mean–Variance Optimal Adaptive Execution (2011)Mean–Variance Optimal Adaptiv…Optimal Basket Liquidation for CARA Investors is Deterministic (2010)Optimal Basket Liquidation fo…Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets (2008)Risk aversion and the dynamic…Liquidation in the Face of Adversity: Stealth vs. Sunshine Trading (2007)Liquidation in the Face of Ad…Episodic Liquidity Crises: Cooperative and Predatory Trading (2007)Episodic Liquidity Crises: Co…Predatory Trading (2005)Predatory TradingOptimal execution with nonlinear impact functions and trading-enhanced risk (2003)Optimal execution with nonlin…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimal control of execution costs (1998)Optimal control of execution …A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition (2022)A Mean Field Game Approach to…A Market Impact Game Under Transient Price Impact (2018)A Market Impact Game Under Tr…High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact (2017)High-Frequency Limit of Nash …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Robust Strategies for Optimal Order Execution in the Almgren–Chriss Framework (2012)Drift dependence of optimal trade execution strategies under transient price impact (2013)Optimal liquidation in dark pools (2014)Myopia and Inconsistency in Dynamic Utility Maximization (1955)Myopia and Inconsistency in Dynamic Utility Maximization (1973)Coherent Measures of Risk (1999)Modeling Asset Prices for Algorithmic and High Frequency Trading (2010)Option Hedging with Smooth Market Impact (2016)Common stock repurchases (1981)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)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)Dynamic Noncooperative Game Theory (1982)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide (2012)The value of trading relations in turbulent times (2017)Prospect Theory: An Analysis of Decision under Risk (1979)Price, trade size, and information in securities markets (1987)OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS (2011)Optimal trade execution: A mean quadratic variation approach (2012)Market microstructure: A survey (2000)OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (2013)Market Impacts and the Life Cycle of Investors Orders (2015)Optimal order placement in limit order markets (2016)Stochastic Finance (2004)Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem (2011)Optimal Trading with Stochastic Liquidity and Volatility (2012)Essays in Positive Economics (1954)Systemic Risk and Stability in Financial Networks (2013)Direct Estimation of Equity Market Impact (2005)Optimal execution strategies in limit order books with general shape functions (2009)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1998Optimal control of execution costs1,056 cited
  • 2005Predatory Trading588 cited
  • 2003Optimal execution with nonlinear impact functions and trading-enhanced risk466 cited
  • 2007Episodic Liquidity Crises: Cooperative and Predatory Trading271 cited
  • 2008Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets232 cited
  • 2010Optimal Basket Liquidation for CARA Investors is Deterministic146 cited
  • 2013Dynamical Models of Market Impact and Algorithms for Order Execution140 cited
  • 2011Mean–Variance Optimal Adaptive Execution69 cited
  • 2007Liquidation in the Face of Adversity: Stealth vs. Sunshine Trading57 cited
  • 2012Strategic execution in the presence of an uninformed arbitrageur43 cited

Cited by

  • 2017High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact28 cited
  • 2018A Market Impact Game Under Transient Price Impact28 cited
  • 2022A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition26 cited

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