Pages that link to "Item:Q2786278"
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The following pages link to No-dynamic-arbitrage and market impact (Q2786278):
Displaying 28 items.
- DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS (Q5157841) (← links)
- A Market Impact Game Under Transient Price Impact (Q5219710) (← links)
- Finite horizon optimal execution with bounded rate of transaction (Q5243383) (← links)
- Hawkes model for price and trades high-frequency dynamics (Q5245453) (← links)
- Optimal liquidation in dark pools (Q5245909) (← links)
- Optimal Execution with Multiplicative Price Impact (Q5250046) (← links)
- ACCELERATED SHARE REPURCHASE: PRICING AND EXECUTION STRATEGY (Q5256838) (← links)
- GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION (Q5262510) (← links)
- OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (Q5262522) (← links)
- OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT (Q5283404) (← links)
- Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs (Q5299910) (← links)
- Price manipulation in a market impact model with dark pool (Q5373912) (← links)
- Price Manipulation and Quasi-Arbitrage (Q5475045) (← links)
- OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL (Q5854316) (← links)
- No‐arbitrage implies power‐law market impact and rough volatility (Q5855958) (← links)
- Optimal Execution: A Review (Q5879357) (← links)
- Price formation and optimal trading in intraday electricity markets (Q5970800) (← links)
- Optimal Execution with Identity Optionality (Q6040001) (← links)
- Strategic Execution Trajectories (Q6040003) (← links)
- Portfolio liquidation games with self‐exciting order flow (Q6054433) (← links)
- Algorithmic market making in dealer markets with hedging and market impact (Q6054445) (← links)
- Reverse stress testing: Scenario design for macroprudential stress tests (Q6054451) (← links)
- A characterisation of cross-impact kernels (Q6105369) (← links)
- Do fundamentals shape the price response? A critical assessment of linear impact models (Q6158379) (← links)
- When is cross impact relevant? (Q6546318) (← links)
- Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies (Q6565560) (← links)
- Do price trajectory data increase the efficiency of market impact estimation? (Q6587733) (← links)
- Optimal trading and competition with information in the price impact model (Q6592284) (← links)