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ArticleIncorporating order-flow into optimal execution

Álvaro Cartea2016

Article2016

Incorporating order-flow into optimal execution

Álvaro Cartea · Sebastian Jaimungal A

134 citations·0/0 files stored·Mathematics and Financial Economics

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

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References

2001Optimal execution of portfolio transactions 2008High-frequency trading in a limit order book 2003Optimal execution with nonlinear impact functions and trading-enhanced risk 2009Optimal execution strategies in limit order books with general shape functions 2010No-dynamic-arbitrage and market impact 2005Direct Estimation of Equity Market Impact 2012Dealing with the inventory risk: a solution to the market making problem 2011OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK

Cited by

2018Enhancing trading strategies with order book signals 2019Mean-Field Game Strategies for Optimal Execution 2021Double Deep Q-Learning for Optimal Execution 2019Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective 2019Incorporating signals into optimal trading 2016A Closed-Form Execution Strategy to Target Volume Weighted Average Price

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2013GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATIONarticle · 10 shared references 2022Optimal Execution: A Reviewarticle · 10 shared references 2022Algorithmic market making in dealer markets with hedging and market impactarticle · 9 shared references 2016Optimal placement in a limit order book: an analytical approacharticle · 9 shared references 2013Dynamical Models of Market Impact and Algorithms for Order Executionchapter · 8 shared references 2012Optimal Portfolio Liquidation with Limit Ordersarticle · 7 shared references

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Year2016

Typearticle

Published2016-02-18

VenueMathematics and Financial Economics

ISSN-L1862-9660

Languageen

Citations134

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1007/s11579-016-0162-z

openalex_workW3125789262

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2018Trading algorithms with learning in latent alpha models

2022Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact