Optimal Execution in a Market with Small Investors

DOI10.1080/13504860903415686zbMath1201.91187OpenAlexW1980299209MaRDI QIDQ3063873

Ryosuke Ishii

Publication date: 15 December 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860903415686

zbMATH Keywords

general equilibriumoptimal executionimpact function

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• Optimal Liquidity Trading*
• Continuous Auctions and Insider Trading
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?

This page was built for publication: Optimal Execution in a Market with Small Investors