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Optimal trading strategy and supply/demand dynamics

Citations

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Cited by:

  1. Juri Hinz & Jeremy Yee, 2017. "An Algorithmic Approach to Optimal Asset Liquidation Problems," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(2), pages 109-129, June.
  2. Masamitsu Ohnishi & Makoto Shimoshimizu, 2024. "Trade execution games in a Markovian environment," Papers 2405.07184, arXiv.org.
  3. Antoine Jacquier & Hao Liu, 2017. "Optimal liquidation in a Level-I limit order book for large tick stocks," Papers 1701.01327, arXiv.org, revised Nov 2017.
  4. Ludovic Moreau & Johannes Muhle-Karbe & H. Mete Soner, 2014. "Trading with Small Price Impact," Papers 1402.5304, arXiv.org, revised Mar 2015.
  5. Olivier Gu'eant, 2012. "Optimal execution and block trade pricing: a general framework," Papers 1210.6372, arXiv.org, revised Dec 2014.
  6. Yergeau, Gabriel, 2016. "Profitability and Market Quality of High Frequency Market-makers: An Empirical Investigation," Working Papers 16-3, HEC Montreal, Canada Research Chair in Risk Management.
  7. Paulwin Graewe & Ulrich Horst, 2016. "Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience," Papers 1611.03435, arXiv.org, revised Jul 2017.
  8. Adrian Buss & Bernard Dumas, 2019. "The Dynamic Properties of Financial‐Market Equilibrium with Trading Fees," Journal of Finance, American Finance Association, vol. 74(2), pages 795-844, April.
  9. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2013. "Limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1709-1742, November.
  10. Gianbiagio Curato & Jim Gatheral & Fabrizio Lillo, 2014. "Optimal execution with nonlinear transient market impact," Papers 1412.4839, arXiv.org.
  11. Sim, Min Kyu & Deng, Shijie, 2020. "Estimation of level-I hidden liquidity using the dynamics of limit order-book," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
  12. Edward Sun & Timm Kruse & Min-Teh Yu, 2015. "Financial Transaction Tax: Policy Analytics Based on Optimal Trading," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 103-141, June.
  13. Seungki Min & Costis Maglaras & Ciamac C. Moallemi, 2018. "Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their Effect on Portfolio Execution," Papers 1811.05524, arXiv.org.
  14. Phillip Monin, 2014. "Hedging Market Risk in Optimal Liquidation," Working Papers 14-08, Office of Financial Research, US Department of the Treasury.
  15. Daniel Hern'andez-Hern'andez & Harold A. Moreno-Franco & Jos'e Luis P'erez, 2017. "Periodic strategies in optimal execution with multiplicative price impact," Papers 1705.00284, arXiv.org, revised May 2018.
  16. Yufan Chen & Lan Wu & Renyuan Xu & Ruixun Zhang, 2024. "Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players," Papers 2408.09505, arXiv.org.
  17. Xiangge Luo & Alexander Schied, 2018. "Nash equilibrium for risk-averse investors in a market impact game with transient price impact," Papers 1807.03813, arXiv.org, revised Jun 2019.
  18. Goldhaber, Dan & Liddle, Stephanie & Theobald, Roddy, 2013. "The gateway to the profession: Assessing teacher preparation programs based on student achievement," Economics of Education Review, Elsevier, vol. 34(C), pages 29-44.
  19. Nico Achtsis & Dirk Nuyens, 2013. "A Monte Carlo method for optimal portfolio executions," Papers 1312.5919, arXiv.org.
  20. 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.
  21. Igor Skachkov, 2013. "Optimal Execution Trajectories. Linear Market Impact with Exponential Decay," Papers 1309.6725, arXiv.org.
  22. Edward W. Sun & Timm Kruse & Yi-Ting Chen, 2019. "Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity," Annals of Operations Research, Springer, vol. 281(1), pages 315-347, October.
  23. Rene Carmona & Kevin Webster, 2017. "The microstructure of high frequency markets," Papers 1709.02015, arXiv.org.
  24. 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.
  25. Elena Boguslavskaya & Dmitry Muravey, 2015. "An explicit solution for optimal investment in Heston model," Papers 1505.02431, arXiv.org, revised May 2015.
  26. Masaaki Fujii, 2015. "Optimal Position Management for a Market Maker with Stochastic Price Impacts," CIRJE F-Series CIRJE-F-963, CIRJE, Faculty of Economics, University of Tokyo.
  27. Edward Sun & Timm Kruse & Min-Teh Yu, 2014. "High frequency trading, liquidity, and execution cost," Annals of Operations Research, Springer, vol. 223(1), pages 403-432, December.
  28. Claudio Bellani & Damiano Brigo & Alex Done & Eyal Neuman, 2018. "Static vs Adaptive Strategies for Optimal Execution with Signals," Papers 1811.11265, arXiv.org, revised Jul 2019.
  29. Ulrich Horst & Xiaonyu Xia, 2019. "Multi-dimensional optimal trade execution under stochastic resilience," Finance and Stochastics, Springer, vol. 23(4), pages 889-923, October.
  30. van Kervel, Vincent & Kwan, Amy & Westerholm, P. Joakim, 2023. "Order splitting and interacting with a counterparty," Journal of Financial Markets, Elsevier, vol. 66(C).
  31. Xinman Cheng & Guanxing Fu & Xiaonyu Xia, 2024. "Long Time Behavior of Optimal Liquidation Problems," Papers 2405.14177, arXiv.org.
  32. Aur'elien Alfonsi & Alexander Schied & Florian Klock, 2013. "Multivariate transient price impact and matrix-valued positive definite functions," Papers 1310.4471, arXiv.org, revised Sep 2015.
  33. Peter Bank & Ibrahim Ekren & Johannes Muhle-Karbe, 2018. "Liquidity in Competitive Dealer Markets," Papers 1807.08278, arXiv.org, revised Mar 2021.
  34. Ulrich Horst & Felix Naujokat, 2008. "Illiquidity and Derivative Valuation," Papers 0901.0091, arXiv.org.
  35. Aurélien Alfonsi & José Infante Acevedo, 2014. "Optimal execution and price manipulations in time-varying limit order books," Post-Print hal-00687193, HAL.
  36. 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.
  37. Nikolay A. Andreev, 2015. "Worst-Case Approach To Strategic Optimal Portfolio Selection Under Transaction Costs And Trading Limits," HSE Working papers WP BRP 45/FE/2015, National Research University Higher School of Economics.
  38. Aurélien Alfonsi & Alexander Schied, 2010. "Optimal trade execution and absence of price manipulations in limit order book models," Post-Print hal-00397652, HAL.
  39. Kyle, Albert S. & Obizhaeva, Anna A. & Tuzun, Tugkan, 2020. "Microstructure invariance in U.S. stock market trades," Journal of Financial Markets, Elsevier, vol. 49(C).
  40. Peter Bank & Antje Fruth, 2013. "Optimal Order Scheduling for Deterministic Liquidity Patterns," Papers 1310.3077, arXiv.org.
  41. Novotný, Jan & Petrov, Dmitri & Urga, Giovanni, 2015. "Trading price jump clusters in foreign exchange markets," Journal of Financial Markets, Elsevier, vol. 24(C), pages 66-92.
  42. Frank McGroarty & Ash Booth & Enrico Gerding & V. L. Raju Chinthalapati, 2019. "High frequency trading strategies, market fragility and price spikes: an agent based model perspective," Annals of Operations Research, Springer, vol. 282(1), pages 217-244, November.
  43. Aur'elien Alfonsi & Antje Fruth & Alexander Schied, 2007. "Optimal execution strategies in limit order books with general shape functions," Papers 0708.1756, arXiv.org, revised Feb 2010.
  44. Peter Lerner, 2015. "Patience vs. impatience of traders: Formation of the value-at-price distribution through competition for liquidity," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 1-30.
  45. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
  46. Eyal Neuman & Yufei Zhang, 2023. "Statistical Learning with Sublinear Regret of Propagator Models," Papers 2301.05157, arXiv.org, revised Jan 2025.
  47. Vayanos, Dimitri & Wang, Jiang, 2012. "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics 119044, London School of Economics and Political Science, LSE Library.
  48. Dumas, Bernard & Buss, Adrian, 2015. "Trading Fees and Slow-Moving Capital," CEPR Discussion Papers 10737, C.E.P.R. Discussion Papers.
  49. 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).
  50. Olivier Gu'eant, 2012. "Execution and block trade pricing with optimal constant rate of participation," Papers 1210.7608, arXiv.org, revised Dec 2013.
  51. Dirk Becherer & Todor Bilarev & Peter Frentrup, 2015. "Optimal Asset Liquidation with Multiplicative Transient Price Impact," Papers 1501.01892, arXiv.org, revised Apr 2017.
  52. 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.
  53. Jackie Jianhong Shen, 2020. "A Stochastic LQR Model for Child Order Placement in Algorithmic Trading," Papers 2004.13797, arXiv.org.
  54. Neil A. Chriss, 2024. "Competitive equilibria in trading," Papers 2410.13583, arXiv.org, revised Oct 2024.
  55. Hyoeun Lee & Kiseop Lee, 2020. "Optimal execution with liquidity risk in a diffusive order book market," Papers 2004.10951, arXiv.org.
  56. Alexander Barzykin & Fabrizio Lillo, 2019. "Optimal VWAP execution under transient price impact," Papers 1901.02327, arXiv.org, revised Jan 2019.
  57. Fernando Duarte & Thomas M. Eisenbach, 2021. "Fire‐Sale Spillovers and Systemic Risk," Journal of Finance, American Finance Association, vol. 76(3), pages 1251-1294, June.
  58. Gianbiagio Curato & Jim Gatheral & Fabrizio Lillo, 2017. "Optimal execution with non-linear transient market impact," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 41-54, January.
  59. Emilio Said, 2022. "Market Impact: Empirical Evidence, Theory and Practice," Working Papers hal-03668669, HAL.
  60. Jonathan A. Ch'avez-Casillas, 2023. "A time-dependent Markovian model of a limit order book," Papers 2302.00846, arXiv.org.
  61. 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.
  62. Olivier Guéant & Charles-Albert Lehalle, 2015. "General Intensity Shapes In Optimal Liquidation," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 457-495, July.
  63. Stefan Feuerriegel & Helmut Prendinger, 2018. "News-based trading strategies," Papers 1807.06824, arXiv.org.
  64. Ben Hambly & Renyuan Xu & Huining Yang, 2021. "Recent Advances in Reinforcement Learning in Finance," Papers 2112.04553, arXiv.org, revised Feb 2023.
  65. Jean-Pierre Fouque & Sebastian Jaimungal & Yuri F. Saporito, 2021. "Optimal Trading with Signals and Stochastic Price Impact," Papers 2101.10053, arXiv.org, revised Aug 2023.
  66. Aur'elien Alfonsi & Alexander Schied, 2012. "Capacitary measures for completely monotone kernels via singular control," Papers 1201.2756, arXiv.org, revised Feb 2013.
  67. Charles-Albert Lehalle & Eyal Neuman, 2019. "Incorporating signals into optimal trading," Finance and Stochastics, Springer, vol. 23(2), pages 275-311, April.
  68. Dirk Becherer & Todor Bilarev & Peter Frentrup, 2017. "Stability for gains from large investors' strategies in M1/J1 topologies," Papers 1701.02167, arXiv.org, revised Mar 2018.
  69. Murgia, Maurizio & Pinna, Andrea & Gottardo, Pietro & Bosetti, Luisella, 2019. "The impact of large orders in electronic markets," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 174-192.
  70. Héctor Jasso-Fuentes & Carlos G. Pacheco & Gladys D. Salgado-Suárez, 2023. "A discrete-time optimal execution problem with market prices subject to random environments," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(3), pages 562-583, October.
  71. Panayi, Efstathios & Peters, Gareth W. & Danielsson, Jon & Zigrand, Jean-Pierre, 2018. "Designating market maker behaviour in limit order book markets," Econometrics and Statistics, Elsevier, vol. 5(C), pages 20-44.
  72. Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014. "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, vol. 8(4), pages 263-365, December.
  73. Elias Strehle, 2016. "Optimal Execution in a Multiplayer Model of Transient Price Impact," Papers 1609.00599, arXiv.org, revised Mar 2019.
  74. Ningyuan Chen & Steven Kou & Chun Wang, 2018. "A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure," Management Science, INFORMS, vol. 64(2), pages 784-803, February.
  75. Ben Hambly & Renyuan Xu & Huining Yang, 2023. "Recent advances in reinforcement learning in finance," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 437-503, July.
  76. Carol Osler & Alasdair Turnbull, 2016. "Dealer Trading at the Fix," Working Papers 101R, Brandeis University, Department of Economics and International Business School, revised Jun 2017.
  77. Beomsoo Park & Benjamin Van Roy, 2012. "Adaptive Execution: Exploration and Learning of Price Impact," Papers 1207.6423, arXiv.org.
  78. Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011. "Optimal Portfolio Liquidation with Limit Orders," Papers 1106.3279, arXiv.org, revised Jul 2012.
  79. Raymond P. H. Fishe & Richard Haynes & Esen Onur, 2022. "Resiliency in the E‐mini futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 5-23, January.
  80. René Carmona & Kevin Webster, 2019. "The self-financing equation in limit order book markets," Finance and Stochastics, Springer, vol. 23(3), pages 729-759, July.
  81. Guanxing Fu & Paul P. Hager & Ulrich Horst, 2023. "Mean-Field Liquidation Games with Market Drop-out," Papers 2303.05783, arXiv.org, revised Sep 2023.
  82. Tingwei Meng & Moritz Vo{ss} & Nils Detering & Giulio Farolfi & Stanley Osher & Georg Menz, 2025. "In-Context Operator Learning for Linear Propagator Models," Papers 2501.15106, arXiv.org.
  83. Alexander Schied & Tao Zhang, 2019. "A Market Impact Game Under Transient Price Impact," Mathematics of Operations Research, INFORMS, vol. 44(1), pages 102-121, February.
  84. Martin Angerer & Marius Gramlich & Michael Hanke, 2025. "Order Book Liquidity on Crypto Exchanges," JRFM, MDPI, vol. 18(3), pages 1-29, February.
  85. Paolo Guasoni & Marko H. Weber, 2018. "Rebalancing Multiple Assets with Mutual Price Impact," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 618-653, November.
  86. Alberto Ciacci & Takumi Sueshige & Hideki Takayasu & Kim Christensen & Misako Takayasu, 2020. "The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets," PLOS ONE, Public Library of Science, vol. 15(6), pages 1-19, June.
  87. Jorge Guijarro-Ordonez, 2019. "High-dimensional statistical arbitrage with factor models and stochastic control," Papers 1901.09309, arXiv.org, revised Jun 2021.
  88. Tian-Shyr Dai & Bo-Jen Chen & You-Jia Sun & Dong-Yuh Yang & Mu-En Wu, 2024. "Constructing Optimal Portfolio Rebalancing Strategies with a Two-Stage Multiresolution-Grid Model," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 3117-3142, November.
  89. Robert J. Elliott & Dilip B. Madan & Tak Kuen Siu, 2021. "Two price economic equilibria and financial market bid/ask prices," Annals of Finance, Springer, vol. 17(1), pages 27-43, March.
  90. Clarence Simard & Bruno Rémillard, 2019. "Pricing European Options in a Discrete Time Model for the Limit Order Book," Methodology and Computing in Applied Probability, Springer, vol. 21(3), pages 985-1005, September.
  91. Pereira, João Pedro & Zhang, Harold H., 2010. "Stock Returns and the Volatility of Liquidity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(4), pages 1077-1110, August.
  92. Fu, Guanxing & Horst, Ulrich & Xia, Xiaonyu, 2022. "Portfolio Liquidation Games with Self-Exciting Order Flow," Rationality and Competition Discussion Paper Series 327, CRC TRR 190 Rationality and Competition.
  93. Min Dai & Steven Kou & H. Mete Soner & Chen Yang, 2023. "Leveraged Exchange-Traded Funds with Market Closure and Frictions," Management Science, INFORMS, vol. 69(4), pages 2517-2535, April.
  94. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012. "Modelling and forecasting liquidity supply using semiparametric factor dynamics," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 610-625.
  95. Lo, Danny K. & Hall, Anthony D., 2015. "Resiliency of the limit order book," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 222-244.
  96. 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.
  97. Roman Gayduk & Sergey Nadtochiy, 2015. "Liquidity Effects of Trading Frequency," Papers 1508.07914, arXiv.org, revised May 2017.
  98. Christoph Kuhn & Johannes Muhle-Karbe, 2013. "Optimal Liquidity Provision," Papers 1309.5235, arXiv.org, revised Feb 2015.
  99. Ibrahim Ekren & Johannes Muhle-Karbe, 2017. "Portfolio Choice with Small Temporary and Transient Price Impact," Papers 1705.00672, arXiv.org, revised Apr 2020.
  100. Shanshan Wang, 2017. "Trading strategies for stock pairs regarding to the cross-impact cost," Papers 1701.03098, arXiv.org, revised Jul 2017.
  101. Schied, Alexander & Schöneborn, Torsten, 2007. "Optimal Portfolio Liquidation for CARA Investors," MPRA Paper 5075, University Library of Munich, Germany.
  102. 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.
  103. O’Sullivan, Conall & Papavassiliou, Vassilios G. & Wafula, Ronald Wekesa & Boubaker, Sabri, 2024. "New insights into liquidity resiliency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
  104. Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2024. "Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems," Finance and Stochastics, Springer, vol. 28(3), pages 813-863, July.
  105. Ulrich Horst & Evgueni Kivman, 2024. "Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies," Finance and Stochastics, Springer, vol. 28(3), pages 759-812, July.
  106. Large, Jeremy, 2007. "Measuring the resiliency of an electronic limit order book," Journal of Financial Markets, Elsevier, vol. 10(1), pages 1-25, February.
  107. Jan Kallsen & Johannes Muhle-Karbe, 2014. "High-Resilience Limits of Block-Shaped Order Books," Papers 1409.7269, arXiv.org.
  108. Xianfeng Jiao & Zizhong Li & Chang Xu & Yang Liu & Weiqing Liu & Jiang Bian, 2023. "Microstructure-Empowered Stock Factor Extraction and Utilization," Papers 2308.08135, arXiv.org.
  109. repec:agr:journl:v:4(605):y:2015:i:4(605):p:99-104 is not listed on IDEAS
  110. Taiga Saito, 2017. "Hedging and pricing illiquid options with market impacts," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-37, June.
  111. Alexander Weiss, 2008. "Escaping the Brownian stalkers," Papers 0803.3590, arXiv.org.
  112. Hans Follmer & Alexander Schied, 2013. "Probabilistic aspects of finance," Papers 1309.7759, arXiv.org.
  113. Cebiroğlu, Gökhan & Horst, Ulrich, 2015. "Optimal order display in limit order markets with liquidity competition," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 81-100.
  114. Peter Bank & Ibrahim Ekren & Johannes Muhle‐Karbe, 2021. "Liquidity in competitive dealer markets," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 827-856, July.
  115. Kyle Bechler & Michael Ludkovski, 2017. "Order Flows and Limit Order Book Resiliency on the Meso-Scale," Papers 1708.02715, arXiv.org.
  116. Iwao Maeda & David deGraw & Michiharu Kitano & Hiroyasu Matsushima & Kiyoshi Izumi & Hiroki Sakaji & Atsuo Kato, 2020. "Latent Segmentation of Stock Trading Strategies Using Multi-Modal Imitation Learning," JRFM, MDPI, vol. 13(11), pages 1-12, October.
  117. 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.
  118. Ioane Muni Toke, 2013. "The order book as a queueing system: average depth and influence of the size of limit orders," Papers 1311.5661, arXiv.org.
  119. Arie E. Gozluklu & Pietro Perotti & Barbara Rindi & Roberta Fredella, 2015. "Lot Size Constraints and Market Quality: Evidence from the Borsa Italiana," Financial Management, Financial Management Association International, vol. 44(4), pages 905-945, October.
  120. Natascha Hey & Jean-Philippe Bouchaud & Iacopo Mastromatteo & Johannes Muhle-Karbe & Kevin Webster, 2023. "The Cost of Misspecifying Price Impact," Papers 2306.00599, arXiv.org.
  121. Peter Bank & Mete Soner & Moritz Vo{ss}, 2015. "Hedging with Temporary Price Impact," Papers 1510.03223, arXiv.org, revised Jul 2016.
  122. Rene Carmona & Kevin Webster, 2019. "Applications of a New Self-Financing Equation," Papers 1905.04137, arXiv.org.
  123. Aur'elien Alfonsi & Jos'e Infante Acevedo, 2012. "Optimal execution and price manipulations in time-varying limit order books," Papers 1204.2736, arXiv.org.
  124. David Evangelista & Yuri Thamsten, 2023. "Approximately optimal trade execution strategies under fast mean-reversion," Papers 2307.07024, arXiv.org, revised Aug 2023.
  125. David Evangelista & Yuri Thamsten, 2020. "On finite population games of optimal trading," Papers 2004.00790, arXiv.org, revised Feb 2021.
  126. Guanxing Fu & Paul P. Hager & Ulrich Horst, 2024. "A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints," Papers 2403.10441, arXiv.org, revised Jan 2025.
  127. Albert S. Kyle & Anna A. Obizhaeva & Tugkan Tuzun, 2016. "Microstructure Invariance in U.S. Stock Market Trades," Finance and Economics Discussion Series 2016-034, Board of Governors of the Federal Reserve System (U.S.).
  128. Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2020. "Optimal trade execution in an order book model with stochastic liquidity parameters," Papers 2006.05843, arXiv.org, revised Apr 2021.
  129. Terrence Hendershott & Charles M. Jones & Albert J. Menkveld, 2011. "Does Algorithmic Trading Improve Liquidity?," Journal of Finance, American Finance Association, vol. 66(1), pages 1-33, February.
  130. Weston Barger & Matthew Lorig, 2019. "Optimal Liquidation Under Stochastic Price Impact," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-28, March.
  131. Enzo Busseti & Fabrizio Lillo, 2012. "Calibration of optimal execution of financial transactions in the presence of transient market impact," Papers 1206.0682, arXiv.org.
  132. Henderson, Brian J. & Pearson, Neil D. & Wang, Li, 2020. "Pre-trade hedging: Evidence from the issuance of retail structured products," Journal of Financial Economics, Elsevier, vol. 137(1), pages 108-128.
  133. Kühn, Christoph & Muhle-Karbe, Johannes, 2015. "Optimal liquidity provision," Stochastic Processes and their Applications, Elsevier, vol. 125(7), pages 2493-2515.
  134. Guanxing Fu & Paul Hager & Ulrich Horst, 2024. "A Mean-Field Game of Market Entry," Rationality and Competition Discussion Paper Series 517, CRC TRR 190 Rationality and Competition.
  135. Jan Rosenzweig, 2019. "Conservation Laws in a Limit Order Book," Papers 1910.09202, arXiv.org, revised Dec 2020.
  136. Antje Fruth & Torsten Schöneborn & Mikhail Urusov, 2014. "Optimal Trade Execution And Price Manipulation In Order Books With Time-Varying Liquidity," Mathematical Finance, Wiley Blackwell, vol. 24(4), pages 651-695, October.
  137. Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2016. "Generalized Optimal Liquidation Problems Across Multiple Trading Venues," Papers 1607.04553, arXiv.org, revised Aug 2017.
  138. Ryosuke Ishii, 2009. "Optimal Execution in an Evolutionary Setting," KIER Working Papers 670, Kyoto University, Institute of Economic Research.
  139. Kashyap, Ravi, 2020. "David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  140. Christopher Lorenz & Alexander Schied, 2012. "Drift dependence of optimal trade execution strategies under transient price impact," Papers 1204.2716, arXiv.org, revised Mar 2013.
  141. Damiano Brigo & Federico Graceffa & Eyal Neuman, 2022. "Price impact on term structure," Quantitative Finance, Taylor & Francis Journals, vol. 22(1), pages 171-195, January.
  142. Ulrich Horst & Felix Naujokat, 2011. "On derivatives with illiquid underlying and market manipulation," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1051-1066.
  143. 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.
  144. Ito, Takatoshi & Yamada, Masahiro, 2017. "Puzzles in the Tokyo fixing in the forex market: Order imbalances and Bank pricing," Journal of International Economics, Elsevier, vol. 109(C), pages 214-234.
  145. Michael J. O'Neill & Geoffrey J. Warren, 2019. "Evaluating fund capacity: issues and methods," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(S1), pages 773-800, April.
  146. Jackie Jianhong Shen, 2013. "A Pre-Trade Algorithmic Trading Model under Given Volume Measures and Generic Price Dynamics (GVM-GPD)," Papers 1309.5046, arXiv.org, revised Sep 2013.
  147. Rama Cont & Arseniy Kukanov & Sasha Stoikov, 2010. "The Price Impact of Order Book Events," Papers 1011.6402, arXiv.org, revised Apr 2011.
  148. Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Papers 1210.1625, arXiv.org, revised Nov 2014.
  149. Alberto Bressan & Deling Wei, 2014. "A Bidding Game with Heterogeneous Players," Journal of Optimization Theory and Applications, Springer, vol. 163(3), pages 1018-1048, December.
  150. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
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