Optimal Execution with Identity Optionality
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DOI: 10.1080/1350486X.2023.2193343
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References listed on IDEAS
- Rene Carmona & Laura Leal, 2021. "Optimal Execution with Quadratic Variation Inventories," Papers 2104.14615, arXiv.org.
- Comerton-Forde, Carole & Putniņš, Tālis J. & Tang, Kar Mei, 2011. "Why Do Traders Choose to Trade Anonymously?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(4), pages 1025-1049, August.
- Peter C. Reiss, 2005. "Anonymity, Adverse Selection, and the Sorting of Interdealer Trades," The Review of Financial Studies, Society for Financial Studies, vol. 18(2), pages 599-636.
- Rene Carmona & Kevin Webster, 2019. "Applications of a New Self-Financing Equation," Papers 1905.04137, arXiv.org.
- Pierre Cardaliaguet & Charles-Albert Lehalle, 2016. "Mean Field Game of Controls and An Application To Trade Crowding," Papers 1610.09904, arXiv.org, revised Sep 2017.
- Bruce Ian Carlin & Miguel Sousa Lobo & S. Viswanathan, 2007. "Episodic Liquidity Crises: Cooperative and Predatory Trading," Journal of Finance, American Finance Association, vol. 62(5), pages 2235-2274, October.
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