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Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
16 references·4 citing·37 second hop
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact (2022)Optimal Signal-Adaptive Trading with Temp…Incorporating signals into optimal trading (2019)Incorporating signals into op…Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience (2017)Optimal Trade Execution with …Market Microstructure in Practice (2017)Market Microstructure in Prac…Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications (2016)Lectures on BSDEs, Stochastic…Incorporating order-flow into optimal execution (2016)Incorporating order-flow into…Hedging with temporary price impact (2016)Hedging with temporary price …Dynamic portfolio choice with frictions (2016)Dynamic portfolio choice with…A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions (2015)A Non-Markovian Liquidation P…BSDEs with Singular Terminal Condition and a Control Problem with Constraints (2014)BSDEs with Singular Terminal …The Price Impact of Order Book Events (2013)The Price Impact of Order Boo…Dynamical Models of Market Impact and Algorithms for Order Execution (2013)Dynamical Models of Market Im…Optimal Trading with Stochastic Liquidity and Volatility (2012)Optimal Trading with Stochast…Optimal trading strategy and supply/demand dynamics (2012)Optimal trading strategy and …Optimal trade execution: A mean quadratic variation approach (2012)Optimal trade execution: A me…TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS (2011)TRANSIENT LINEAR PRICE IMPACT…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimal Execution: A Review (2022)Optimal Execution: A ReviewMulti-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics (2022)Multi-asset Optimal Execution…Decentralised Finance and Automated Market Making: Execution and Speculation (2022)Decentralised Finance and Aut…Optimal trade execution for Gaussian signals with power-law resilience (2021)Optimal trade execution for G…Optimal control of execution costs (1998)Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Optimal Execution in a General One-Sided Limit-Order Book (2011)Optimal Portfolio Liquidation with Limit Orders (2012)A probabilistic weak formulation of mean field games and applications (2015)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)Transactions, Volume, and Volatility (1994)GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION (2013)OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (2013)Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton–Jacobi–Bellman equation approach (2015)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)PORTFOLIO SELECTION* (1952)Asset pricing and the bid-ask spread (1986)Smooth Trading with Overconfidence and Market Power (2013)Anomalies and the Expected Market Return (2020)Market microstructure: A survey (2000)Market Impacts and the Life Cycle of Investors Orders (2015)Optimal order placement in limit order markets (2016)The Relation Between Price Changes and Trading Volume: A Survey (1987)Inferring Trade Direction from Intraday Data (1991)Hawkes model for price and trades high-frequency dynamics (2014)Price Discovery without Trading: Evidence from Limit Orders (2019)Universal features of price formation in financial markets: perspectives from deep learning (2019)A Theory of Intraday Patterns: Volume and Price Variability (1988)A Stochastic Model for Order Book Dynamics (2010)High-frequency trading in a limit order book (2008)Enhancing trading strategies with order book signals (2018)Mean-Field Game Strategies for Optimal Execution (2019)Double Deep Q-Learning for Optimal Execution (2021)Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics (2016)Freidlin–Wentzell LDP in path space for McKean–Vlasov equations and the functional iterated logarithm law (2019)On the convergence of closed-loop Nash equilibria to the mean field game limit (2020)
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References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 2012Optimal trading strategy and supply/demand dynamics560 cited
  • 2013The Price Impact of Order Book Events348 cited
  • 2016Dynamic portfolio choice with frictions202 cited
  • 2011TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS186 cited
  • 2012Optimal trade execution: A mean quadratic variation approach160 cited
  • 2016Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications157 cited
  • 2012Optimal Trading with Stochastic Liquidity and Volatility146 cited
  • 2013Dynamical Models of Market Impact and Algorithms for Order Execution140 cited
  • 2016Incorporating order-flow into optimal execution134 cited
  • 2016Hedging with temporary price impact90 cited
  • 2017Market Microstructure in Practice75 cited
  • 2014BSDEs with Singular Terminal Condition and a Control Problem with Constraints68 cited
  • 2015A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions65 cited
  • 2019Incorporating signals into optimal trading60 cited
  • 2017

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Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience
45 cited

Cited by

  • 2022Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics27 cited
  • 2022Optimal Execution: A Review26 cited
  • 2022Decentralised Finance and Automated Market Making: Execution and Speculation24 cited
  • 2021Optimal trade execution for Gaussian signals with power-law resilience23 cited