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Optimal liquidation under stochastic liquidity · Study

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ArticleOptimal liquidation under stochastic liquidity

Dirk Becherer2017

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Articlegreen2017

Optimal liquidation under stochastic liquidity

Dirk Becherer · Todor Bilarev · Peter Frentrup

37 citations·0/0 files stored·Finance and Stochastics

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

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References

1985Continuous Auctions and Insider Trading 2003Limit Theorems for Stochastic Processes 1995The Behavior of Stock Prices Around Institutional Trades 2009Optimal execution strategies in limit order books with general shape functions 1989Stopping Times and Tightness. II 1980Some solvable stochastic control problemst†2008Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets 2007Martingale proofs of many-server heavy-traffic limits for Markovian queues

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2018Optimal trade execution in order books with stochastic liquidity

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2017Dynamic Portfolio Executionarticle · 6 shared references 2015Optimal Execution with Multiplicative Price Impactarticle · 6 shared references 2018Optimal trade execution in order books with stochastic liquidityarticle · 6 shared references 2013GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATIONarticle · 5 shared references 2014When to Cross the Spread? Trading in Two-Sided Limit Order Booksarticle · 5 shared references 2013OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME‐VARYING LIQUIDITYarticle · 5 shared references

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Year2017

Typearticle

Published2017-10-30

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations37

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-017-0346-2

openalex_workW2608850366

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