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Optimal liquidation under stochastic liquidity
16 references·2 citing·38 second hop
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this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1995The Behavior of Stock Prices Around Institutional Trades794 cited
  • 2009Optimal execution strategies in limit order books with general shape functions408 cited
  • 1989Stopping Times and Tightness. II347 cited
  • 1980Some solvable stochastic control problemst†316 cited
  • 2008Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets232 cited
  • 2007Martingale proofs of many-server heavy-traffic limits for Markovian queues183 cited
  • 2011Optimal Execution in a General One-Sided Limit-Order Book183 cited
  • 2007Martingale proofs of many-server heavy-traffic limits for Markovian queues155 cited
  • 1993SDEs with Oblique Reflection on Nonsmooth Domains148 cited
  • 2012Optimal Trading with Stochastic Liquidity and Volatility146 cited
  • 1998Perfect option hedging for a large trader145 cited
  • 2013Dynamical Models of Market Impact and Algorithms for Order Execution140 cited
  • 2011Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem140 cited

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1989
Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
118 cited

Cited by

  • 2018Optimal trade execution in order books with stochastic liquidity33 cited
  • 2022Optimal Execution: A Review26 cited