Optimal Trading with General Signals and Liquidation in Target Zone Models
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Cited by:
- Peter Bank & 'Alvaro Cartea & Laura Korber, 2023. "Optimal execution and speculation with trade signals," Papers 2306.00621, arXiv.org, revised Jul 2023.
- 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.
- Elliott, Robert & Qiu, Jinniao & Wei, Wenning, 2022. "Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone," Stochastic Processes and their Applications, Elsevier, vol. 148(C), pages 68-97.
- Philippe Bergault & Fayc{c}al Drissi & Olivier Gu'eant, 2021. "Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics," Papers 2103.13773, arXiv.org, revised Mar 2022.
- 'Alvaro Cartea & Fayc{c}al Drissi & Marcello Monga, 2023. "Decentralised Finance and Automated Market Making: Execution and Speculation," Papers 2307.03499, arXiv.org, revised Jul 2024.
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