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Liquidation in Limit Order Books with Controlled Intensity

Citations

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Cited by:

  1. Olivier Gu'eant, 2012. "Optimal execution and block trade pricing: a general framework," Papers 1210.6372, arXiv.org, revised Dec 2014.
  2. Leonid Dolinskyi & Yan Dolinsky, 2023. "Optimal Liquidation with High Risk Aversion and Small Linear Price Impact," Papers 2301.01555, arXiv.org, revised Nov 2023.
  3. S. C. P. Yam & W. Zhou, 2017. "Optimal Liquidation of Child Limit Orders," Mathematics of Operations Research, INFORMS, vol. 42(2), pages 517-545, May.
  4. Pietro Fodra & Huy^en Pham, 2013. "High frequency trading and asymptotics for small risk aversion in a Markov renewal model," Papers 1310.1756, arXiv.org, revised Jan 2015.
  5. Burcu Aydoğan & Ömür Uğur & Ümit Aksoy, 2023. "Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 289-324, June.
  6. Dupret, Jean-Loup & Hainaut, Donatien, 2023. "Optimal liquidation under indirect price impact with propagator," LIDAM Discussion Papers ISBA 2023012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  7. Olivier Gu'eant, 2012. "Execution and block trade pricing with optimal constant rate of participation," Papers 1210.7608, arXiv.org, revised Dec 2013.
  8. Olivier Guéant & Charles-Albert Lehalle, 2015. "General Intensity Shapes In Optimal Liquidation," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 457-495, July.
  9. Alvaro Cartea & Luhui Gan & Sebastian Jaimungal, 2018. "Trading Cointegrated Assets with Price Impact," Papers 1807.01428, arXiv.org.
  10. Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es, 2011. "Optimal posting price of limit orders: learning by trading," Papers 1112.2397, arXiv.org, revised Sep 2012.
  11. Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011. "Optimal Portfolio Liquidation with Limit Orders," Papers 1106.3279, arXiv.org, revised Jul 2012.
  12. Ye, Wuyi & Yang, Jinting & Chen, Pengzhan, 2024. "Short-term stock price trend prediction with imaging high frequency limit order book data," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1189-1205.
  13. Matthew Lorig & Zhou Zhou & Bin Zou, 2019. "Optimal Bookmaking," Papers 1907.01056, arXiv.org, revised Mar 2021.
  14. Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Working Papers hal-00603385, HAL.
  15. Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020. "Intraday market making with overnight inventory costs," Journal of Financial Markets, Elsevier, vol. 50(C).
  16. Philippe Bergault & David Evangelista & Olivier Gu'eant & Douglas Vieira, 2018. "Closed-form approximations in multi-asset market making," Papers 1810.04383, arXiv.org, revised Sep 2022.
  17. Leonid Dolinskyi & Yan Dolinsky, 2024. "Optimal liquidation with high risk aversion and small linear price impact," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 47(1), pages 183-198, June.
  18. Timoth'ee Fabre & Vincent Ragel, 2023. "Interpretable ML for High-Frequency Execution," Papers 2307.04863, arXiv.org, revised Sep 2024.
  19. Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Papers 1106.5040, arXiv.org.
  20. Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Papers 1210.1625, arXiv.org, revised Nov 2014.
  21. Fengpei Li & Vitalii Ihnatiuk & Ryan Kinnear & Anderson Schneider & Yuriy Nevmyvaka, 2022. "Do price trajectory data increase the efficiency of market impact estimation?," Papers 2205.13423, arXiv.org, revised Mar 2023.
  22. Qing-Qing Yang & Wai-Ki Ching & Jiawen Gu & Tak-Kuen Siu, 2020. "Trading strategy with stochastic volatility in a limit order book market," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 277-301, June.
  23. Fayc{c}al Drissi, 2022. "Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals," Papers 2202.07478, arXiv.org, revised Aug 2023.
  24. Saran Ahuja & George Papanicolaou & Weiluo Ren & Tzu-Wei Yang, 2016. "Limit order trading with a mean reverting reference price," Papers 1607.00454, arXiv.org, revised Nov 2016.
  25. Qixuan Luo & Shijia Song & Handong Li, 2023. "Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1721-1750, December.
  26. Chen, Yuanyuan & Gao, Xuefeng & Li, Duan, 2018. "Optimal order execution using hidden orders," Journal of Economic Dynamics and Control, Elsevier, vol. 94(C), pages 89-116.
  27. Xin Guo & Zhao Ruan & Lingjiong Zhu, 2015. "Dynamics of Order Positions and Related Queues in a Limit Order Book," Papers 1505.04810, arXiv.org, revised Oct 2015.
  28. Charles-Albert Lehalle & Charafeddine Mouzouni, 2019. "A mean field game of portfolio trading and its consequences on perceived correlations," Working Papers hal-02003143, HAL.
  29. Kaj Nyström & Sidi Mohamed Ould Aly & Changyong Zhang, 2014. "Market Making And Portfolio Liquidation Under Uncertainty," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(05), pages 1-33.
  30. Justin Sirignano, 2016. "Deep Learning for Limit Order Books," Papers 1601.01987, arXiv.org, revised Jul 2016.
  31. Hadrien De March & Charles-Albert Lehalle, 2018. "Optimal trading using signals," Papers 1811.03718, arXiv.org.
  32. Rossella Agliardi & Ramazan Gençay, 2017. "Optimal Trading Strategies With Limit Orders," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-16, February.
  33. Qing-Qing Yang & Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu, 2019. "On Optimal Pricing Model for Multiple Dealers in a Competitive Market," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 397-431, January.
  34. Olivier Gu'eant & Jean-Michel Lasry & Jiang Pu, 2014. "A convex duality method for optimal liquidation with participation constraints," Papers 1407.4614, arXiv.org, revised Dec 2014.
  35. Christopher Lorenz & Alexander Schied, 2013. "Drift dependence of optimal trade execution strategies under transient price impact," Finance and Stochastics, Springer, vol. 17(4), pages 743-770, October.
  36. 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.
  37. Schnaubelt, Matthias, 2022. "Deep reinforcement learning for the optimal placement of cryptocurrency limit orders," European Journal of Operational Research, Elsevier, vol. 296(3), pages 993-1006.
  38. Álvaro Cartea & Sebastian Jaimungal & Jason Ricci, 2018. "Trading Strategies Within The Edges Of No-Arbitrage," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-37, May.
  39. Du, Bian & Zhu, Hongliang & Zhao, Jingdong, 2016. "Optimal execution in high-frequency trading with Bayesian learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 767-777.
  40. Fabien Guilbaud & Huyên Pham, 2013. "Optimal high-frequency trading with limit and market orders," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 79-94, January.
  41. Schnaubelt, Matthias, 2020. "Deep reinforcement learning for the optimal placement of cryptocurrency limit orders," FAU Discussion Papers in Economics 05/2020, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  42. Álvaro Cartea & Sebastian Jaimungal & Damir Kinzebulatov, 2016. "Algorithmic Trading With Learning," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-30, June.
  43. Lorig, Matthew & Zhou, Zhou & Zou, Bin, 2021. "Optimal bookmaking," European Journal of Operational Research, Elsevier, vol. 295(2), pages 560-574.
  44. A. Sadoghi & J. Vecer, 2015. "Optimum Liquidation Problem Associated with the Poisson Cluster Process," Papers 1507.06514, arXiv.org, revised Dec 2015.
  45. Diego Zabaljauregui, 2020. "Optimal market making under partial information and numerical methods for impulse control games with applications," Papers 2009.06521, arXiv.org.
  46. Diego Zabaljauregui & Luciano Campi, 2019. "Optimal market making under partial information with general intensities," Papers 1902.01157, arXiv.org, revised Apr 2020.
  47. Pietro Fodra & Huyen Pham, 2013. "High frequency trading in a Markov renewal model," Working Papers hal-00867113, HAL.
  48. Christopher Lorenz & Alexander Schied, 2012. "Drift dependence of optimal trade execution strategies under transient price impact," Papers 1204.2716, arXiv.org, revised Mar 2013.
  49. Etienne Chevalier & Vathana Ly Vath & Simone Scotti & Alexandre Roch, 2016. "Optimal Execution Cost For Liquidation Through A Limit Order Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-26, February.
  50. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
  51. Xiaofei Lu & Fr'ed'eric Abergel, 2018. "Order-book modelling and market making strategies," Papers 1806.05101, arXiv.org.
  52. Xuefeng Gao & S. J. Deng, 2014. "Hydrodynamic limit of order book dynamics," Papers 1411.7502, arXiv.org, revised Feb 2016.
  53. Etienne Chevalier & M’hamed Gaïgi & Vathana Ly Vath & Mohamed Mnif, 2017. "Optimal Market Dealing Under Constraints," Journal of Optimization Theory and Applications, Springer, vol. 173(1), pages 313-335, April.
  54. Jin Ma & Eunjung Noh, 2020. "Equilibrium Model of Limit Order Books: A Mean-field Game View," Papers 2002.12857, arXiv.org, revised Mar 2020.
  55. Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
  56. Alexandre Roch, 2023. "Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-29, March.
  57. Amirhossein Sadoghi & Jan Vecer, 2022. "Optimal liquidation problem in illiquid markets," Post-Print hal-03696768, HAL.
  58. Yan Dolinsky, 2022. "Duality Theory for Exponential Utility--Based Hedging in the Almgren--Chriss Model," Papers 2210.03917, arXiv.org, revised Jun 2023.
  59. Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Working Papers hal-00737491, HAL.
  60. repec:dau:papers:123456789/7391 is not listed on IDEAS
  61. Olivier Gu'eant, 2016. "Optimal market making," Papers 1605.01862, arXiv.org, revised May 2017.
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