Dynamic optimal execution in a mixed-market-impact Hawkes price model
From MaRDI portal
Publication:261925
DOI10.1007/s00780-015-0282-yzbMath1396.91672arXiv1404.0648OpenAlexW2155829786MaRDI QIDQ261925
Pierre Blanc, Aurélien Alfonsi
Publication date: 29 March 2016
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1404.0648
market microstructurehigh-frequency tradingHawkes processesmarket impact modeloptimal executionprice manipulations
Microeconomic theory (price theory and economic markets) (91B24) Existence theories for optimal control problems involving ordinary differential equations (49J15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)
Related Items
Long-Time Behavior of a Hawkes Process--Based Limit Order Book, Mean field game of controls and an application to trade crowding, Constant proportion portfolio insurance strategies in contagious markets, Limit equations of adaptive Erlangization and their application to environmental management, Portfolio liquidation games with self‐exciting order flow, High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact, Precise deviations for Hawkes processes, Clustering Effects via Hawkes Processes, Exploring the dynamics of financial markets: from stock prices to strategy returns, Optimal liquidation problem in illiquid markets, A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy, Optimal Market Making with Persistent Order Flow, Unnamed Item, PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES, Liquidation with self-exciting price impact
Cites Work
- Why is equity order flow so persistent?
- More statistical properties of order books and price impact
- Limit theorems for nearly unstable Hawkes processes
- Some limit theorems for Hawkes processes and application to financial statistics
- No-dynamic-arbitrage and market impact
- Capacitary Measures for Completely Monotone Kernels via Singular Control
- A MATHEMATICAL APPROACH TO ORDER BOOK MODELING
- How efficiency shapes market impact
- Price Dynamics in a Markovian Limit Order Market
- The price impact of order book events: market orders, limit orders and cancellations
- Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit
- Optimal Execution in a General One-Sided Limit-Order Book
- Multivariate Hawkes processes: an application to financial data
- OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
- Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
- Optimal Execution and Block Trade Pricing: A General Framework
- An Introduction to the Theory of Point Processes
- Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem
- TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
- Optimal execution strategies in limit order books with general shape functions
- Hawkes model for price and trades high-frequency dynamics
- Simulating and Analyzing Order Book Data: The Queue-Reactive Model
- Price Manipulation and Quasi-Arbitrage
- Spectra of some self-exciting and mutually exciting point processes
- Modelling microstructure noise with mutually exciting point processes
