C\`adl\`ag semimartingale strategies for optimal trade execution in stochastic order book models
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Cited by:
- Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2022. "A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies," Papers 2207.00446, arXiv.org, revised Sep 2023.
- Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2021. "Self-exciting price impact via negative resilience in stochastic order books," Papers 2112.03789, arXiv.org, revised Jul 2022.
- Xinman Cheng & Guanxing Fu & Xiaonyu Xia, 2024. "Long Time Behavior of Optimal Liquidation Problems," Papers 2405.14177, arXiv.org.
- Ulrich Horst & Evgueni Kivman, 2021. "Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies," Papers 2103.05957, arXiv.org, revised Jul 2023.
- Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2022. "Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems," Papers 2206.03772, arXiv.org, revised Sep 2023.
- Tao Chen & Mike Ludkovski & Moritz Vo{ss}, 2022. "On Parametric Optimal Execution and Machine Learning Surrogates," Papers 2204.08581, arXiv.org, revised Oct 2023.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2020-07-13 (Market Microstructure)
- NEP-ORE-2020-07-13 (Operations Research)
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