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Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience
11 references·9 citing·37 second hopsampled
Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience (2017)Optimal Trade Execution with Instantaneou…Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting (2016)Minimal supersolutions for BS…A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions (2015)A Non-Markovian Liquidation P…When to Cross the Spread? Trading in Two-Sided Limit Order Books (2014)When to Cross the Spread? Tra…BSDEs with Singular Terminal Condition and a Control Problem with Constraints (2014)BSDEs with Singular Terminal …OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME‐VARYING LIQUIDITY (2013)OPTIMAL TRADE EXECUTION AND P…Optimal trading strategy and supply/demand dynamics (2012)Optimal trading strategy and …OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)OPTIMAL TRADE EXECUTION UNDER…On the comparison theorem for multidimensional BSDEs (2006)On the comparison theorem for…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimal control of execution costs (1998)Optimal control of execution …Stochastic Hamilton–Jacobi–Bellman Equations (1992)Stochastic Hamilton–Jacobi–Be…Stochastic Liquidity as a Proxy for Nonlinear Price Impact (2022)Stochastic Liquidity as a Pro…Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact (2022)Optimal Signal-Adaptive Tradi…Optimal Execution: A Review (2022)Optimal Execution: A ReviewMean-Field Leader-Follower Games with Terminal State Constraint (2020)Mean-Field Leader-Follower Ga…Multi-dimensional optimal trade execution under stochastic resilience (2019)Multi-dimensional optimal tra…Optimal trade execution in order books with stochastic liquidity (2018)Optimal trade execution in or…Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint (2018)Linear Quadratic Stochastic C…A Mean Field Game of Optimal Portfolio Liquidation * (2018)A Mean Field Game of Optimal …Optimal liquidation under stochastic liquidity (2017)Optimal liquidation under sto…Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)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)Portfolio Selection with Transaction Costs (1990)Mean Field Games with Singular Controls (2017)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)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)A Generalized dynamic programming principle and hamilton-jacobi-bellman equation (1992)Backward Stochastic Differential Equations in Finance (1997)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Mean-field backward stochastic Volterra integral equations (2013)Multidimensional quadratic and subquadratic BSDEs with special structure (2015)Backward Stochastic Differential Equations (2017)Stochastic controls : Hamiltonian systems and HJB equations (1999)Controlled Diffusion Processes (1980)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Adapted solution of a backward stochastic differential equation (1990)Mean-Variance Portfolio Selection with Random Parameters in a Complete Market (2002)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Coherent Measures of Risk (1999)Optimal trade execution: A mean quadratic variation approach (2012)Dynamical Models of Market Impact and Algorithms for Order Execution (2013)Dynamic portfolio choice with frictions (2016)Price, trade size, and information in securities markets (1987)Limit Theorems for Stochastic Processes (2003)Drift dependence of optimal trade execution strategies under transient price impact (2013)A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure (2017)A Theory of Intraday Patterns: Volume and Price Variability (1988)A Stochastic Model for Order Book Dynamics (2010)The Price Impact of Order Book Events (2013)Smooth solutions to portfolio liquidation problems under price-sensitive market impact (2017)
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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
  • 1992Stochastic Hamilton–Jacobi–Bellman Equations307 cited
  • 2011OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK204 cited
  • 2014BSDEs with Singular Terminal Condition and a Control Problem with Constraints68 cited
  • 2006On the comparison theorem for multidimensional BSDEs67 cited
  • 2015A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions65 cited
  • 2014When to Cross the Spread? Trading in Two-Sided Limit Order Books56 cited
  • 2013OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME‐VARYING LIQUIDITY54 cited
  • 2016Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting45 cited

Cited by

  • 2022Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact42 cited
  • 2018A Mean Field Game of Optimal Portfolio Liquidation *41 cited
  • 2017Optimal liquidation under stochastic liquidity37 cited
  • 2018

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Optimal trade execution in order books with stochastic liquidity
33 cited
  • 2020Mean-Field Leader-Follower Games with Terminal State Constraint32 cited
  • 2018Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint30 cited
  • 2022Optimal Execution: A Review26 cited
  • 2022Stochastic Liquidity as a Proxy for Nonlinear Price Impact22 cited
  • 2019Multi-dimensional optimal trade execution under stochastic resilience21 cited