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Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions
16 references·0 citing·40 second hopsampled
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References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1998Optimal control of execution costs1,056 cited
  • 2012Optimal trading strategy and supply/demand dynamics560 cited
  • 2009Optimal execution strategies in limit order books with general shape functions408 cited
  • 2010No-dynamic-arbitrage and market impact402 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes370 cited
  • 2004Price Manipulation and Quasi-Arbitrage333 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes295 cited
  • 2009Market impact and trading profile of hidden orders in stock markets219 cited
  • 2011TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS186 cited
  • 2011Optimal Execution in a General One-Sided Limit-Order Book183 cited
  • 2010Optimal Basket Liquidation for CARA Investors is Deterministic146 cited
  • 2013Dynamical Models of Market Impact and Algorithms for Order Execution140 cited
  • 2011Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem140 cited
  • 2010Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models

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118 cited
  • 2008Constrained portfolio liquidation in a limit order book model76 cited
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