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Optimal trade execution in order books with stochastic liquidity
16 references·0 citing·42 second hop
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References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1989Brownian Motion and Stochastic Calculus.921 cited
  • 2001Numerical Methods for Stochastic Control Problems in Continuous Time654 cited
  • 2012Optimal trading strategy and supply/demand dynamics560 cited
  • 2003Optimal execution with nonlinear impact functions and trading-enhanced risk466 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
  • 2001Pricing and Hedging Path-Dependent Options Under the CEV Process343 cited
  • 1999A Parametric Nonlinear Model of Term Structure Dynamics335 cited
  • 2004Price Manipulation and Quasi-Arbitrage333 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes295 cited
  • 1999Hedging and liquidation under transaction costs in currency markets257 cited
  • 2008Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets232 cited
  • 2006A jump to default extended CEV model: an application of Bessel processes

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227 cited
  • 2011Optimal Execution in a General One-Sided Limit-Order Book183 cited
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