Optimal order execution using hidden orders

DOI10.1016/j.jedc.2018.07.006zbMath1402.91941OpenAlexW2887187535WikidataQ57445387 ScholiaQ57445387MaRDI QIDQ1624483

Y. Aharonov

Publication date: 16 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2018.07.006

zbMATH Keywords

dynamic programminghidden orderlimit order marketorder execution

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

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Does the bid-ask spread affect trading in exchange operated dark pools? Evidence from a natural experiment

Cites Work

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• The market impact of a limit order
• Optimal placement in a limit order book: an analytical approach
• Optimal order display in limit order markets with liquidity competition
• LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
• When to Cross the Spread? Trading in Two-Sided Limit Order Books
• Optimal execution with limit and market orders
• Optimal liquidation in dark pools
• PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME

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