Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty
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DOI: 10.1142/S2424786317500207
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- Brian Bulthuis & Julio Concha & Tim Leung & Brian Ward, 2016. "Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty," Papers 1604.04963, arXiv.org, revised Apr 2017.
References listed on IDEAS
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- Xue Cheng & Marina Di Giacinto & Tai-Ho Wang, 2017. "Optimal execution with uncertain order fills in Almgren–Chriss framework," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 55-69, January.
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Cited by:
- Luca Lalor & Anatoliy Swishchuk, 2024. "Market Simulation under Adverse Selection," Papers 2409.12721, arXiv.org, revised Mar 2025.
- Xue Cheng & Marina Di Giacinto & Tai-Ho Wang, 2019. "Optimal execution with dynamic risk adjustment," Papers 1901.00617, arXiv.org, revised Jul 2019.
- Bahman Angoshtari & Tim Leung, 2019.
"Optimal dynamic basis trading,"
Annals of Finance, Springer, vol. 15(3), pages 307-335, September.
- Bahman Angoshtari & Tim Leung, 2018. "Optimal Dynamic Basis Trading," Papers 1809.05961, arXiv.org, revised May 2019.
- Chuheng Zhang & Yitong Duan & Xiaoyu Chen & Jianyu Chen & Jian Li & Li Zhao, 2023. "Towards Generalizable Reinforcement Learning for Trade Execution," Papers 2307.11685, arXiv.org.
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Keywords
Algorithmic trading; price impact; optimal execution; HJB equation;All these keywords.
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