Mechanics of good trade execution in the framework of linear temporary market impact
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- 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.
References listed on IDEAS
- Christoph Belak & Johannes Muhle-Karbe & Kevin Ou, 2018. "Optimal Trading with General Signals and Liquidation in Target Zone Models," Papers 1808.00515, arXiv.org.
- Damiano Brigo & Clément Piat, 2018. "Static Versus Adapted Optimal Execution Strategies in Two Benchmark Trading Models," World Scientific Book Chapters, in: Kathrin Glau & Daniël Linders & Aleksey Min & Matthias Scherer & Lorenz Schneider & Rudi Zagst (ed.), Innovations in Insurance, Risk- and Asset Management, chapter 10, pages 239-273, World Scientific Publishing Co. Pte. Ltd..
- William M. Boyce, 1970. "Stopping Rules for Selling Bonds," Bell Journal of Economics, The RAND Corporation, vol. 1(1), pages 27-53, Spring.
- Jim Gatheral & Alexander Schied, 2011. "Optimal Trade Execution Under Geometric Brownian Motion In The Almgren And Chriss Framework," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(03), pages 353-368.
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Finance and Stochastics, Springer, vol. 23(2), pages 275-311, April.
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- Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, vol. 1(1), pages 1-50, April.
- Damiano Brigo & Giuseppe Di Graziano, 2014. "Optimal trade execution under displaced diffusions dynamics across different risk criteria," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(02), pages 1-17.
- David Easley & Marcos Lopez Prado & Maureen O'Hara, 2015. "Optimal Execution Horizon," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 640-672, July.
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