Pages that link to "Item:Q4902209"
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The following pages link to Optimal Trading with Stochastic Liquidity and Volatility (Q4902209):
Displaying 50 items.
- Optimal portfolio liquidation in target zone models and catalytic superprocesses (Q287674) (← links)
- Optimal trade execution: a mean quadratic variation approach (Q318882) (← links)
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach (Q322571) (← links)
- A control problem with fuel constraint and Dawson-Watanabe superprocesses (Q389072) (← links)
- An optimal trading rule of a mean-reverting asset (Q618955) (← links)
- Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting (Q737168) (← links)
- Trading strategy with stochastic volatility in a limit order book market (Q777935) (← links)
- Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions (Q1681457) (← links)
- Optimal liquidation under stochastic liquidity (Q1691443) (← links)
- Optimal execution with regime-switching market resilience (Q1734569) (← links)
- Incorporating signals into optimal trading (Q1739054) (← links)
- Asymptotic approach for backward stochastic differential equation with singular terminal condition (Q1994916) (← links)
- Generalized optimal liquidation problems across multiple trading venues (Q2165772) (← links)
- Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models (Q2238774) (← links)
- A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy (Q2246615) (← links)
- Optimal portfolio execution problem with stochastic price impact (Q2288736) (← links)
- Optimal dynamic basis trading (Q2334405) (← links)
- Trading strategies generated by Lyapunov functions (Q2364535) (← links)
- An explicit optimal strategy for flow trades at NASDAQ around its close (Q2417143) (← links)
- Convergence of the embedded mean-variance optimal points with discrete sampling (Q2634609) (← links)
- An FBSDE approach to market impact games with stochastic parameters (Q2671645) (← links)
- A two-player portfolio tracking game (Q2675370) (← links)
- Optimal trading strategy under disordered asset return and Knightian uncertainty (Q2860190) (← links)
- Optimal Execution with Dynamic Order Flow Imbalance (Q3456840) (← links)
- (Q4313037) (← links)
- Optimal execution in Hong Kong given a market-on-close benchmark (Q4554447) (← links)
- Optimal execution with uncertain order fills in Almgren–Chriss framework (Q4555058) (← links)
- Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies (Q4584996) (← links)
- Optimal Trade Execution Under Stochastic Volatility and Liquidity (Q4586036) (← links)
- OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT (Q4631694) (← links)
- Optimal Execution and Block Trade Pricing: A General Framework (Q4682484) (← links)
- Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters (Q4958393) (← links)
- The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets (Q4987716) (← links)
- LATENCY AND LIQUIDITY RISK (Q5061490) (← links)
- Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics (Q5071495) (← links)
- Optimal solution of the liquidation problem under execution and price impact risks (Q5079391) (← links)
- Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact (Q5080132) (← links)
- Optimal Trading with Signals and Stochastic Price Impact (Q5097223) (← links)
- MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH (Q5210916) (← links)
- OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT (Q5256839) (← links)
- GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION (Q5262510) (← links)
- OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (Q5262522) (← links)
- (Q5320321) (← links)
- Optimal trade execution in order books with stochastic liquidity (Q5377182) (← links)
- Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients (Q5878540) (← links)
- On Regularized Optimal Execution Problems and Their Singular Limits (Q5879351) (← links)
- Optimal Execution: A Review (Q5879357) (← links)
- Optimal Execution with Identity Optionality (Q6040001) (← links)
- Optimal trading with transaction costs and short-term predictability (Q6053124) (← links)
- Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics (Q6069774) (← links)