Optimal trade execution under displaced diffusions dynamics across different risk criteria
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DOI: 10.1142/S2345768614500184
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Cited by:
- Claudio Bellani & Damiano Brigo, 2021.
"Mechanics of good trade execution in the framework of linear temporary market impact,"
Quantitative Finance, Taylor & Francis Journals, vol. 21(1), pages 143-163, January.
- Claudio Bellani & Damiano Brigo, 2019. "Mechanics of good trade execution in the framework of linear temporary market impact," Papers 1909.10464, arXiv.org, revised Jul 2020.
- Damiano Brigo & Clement Piat, 2016. "Static vs adapted optimal execution strategies in two benchmark trading models," Papers 1609.05523, arXiv.org.
- M. Alessandra Crisafi & Andrea Macrina, 2016. "Simultaneous Trading In ‘Lit’ And Dark Pools," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-33, December.
- Chiara Benazzoli & Luca Di Persio, 2017. "Optimal execution strategy in liquidity framework," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1364902-136, January.
- Masashi Ieda, 2015. "A dynamic optimal execution strategy under stochastic price recovery," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-24, December.
- Masashi Ieda, 2015. "A dynamic optimal execution strategy under stochastic price recovery," Papers 1502.04521, arXiv.org.
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Keywords
Optimal trade execution; algorithmic trading; displaced diffusion; HJB equation; calculus of variations; risk measures; value at risk; expected shortfall; squared-asset expectation; market impact;All these keywords.
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