OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS

DOI10.1111/j.1467-9965.2010.00446.xzbMath1233.91335arXiv0902.2516OpenAlexW1564085775MaRDI QIDQ3100751

Erhan Bayraktar, Michael Ludkovski

Publication date: 21 November 2011

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

Full work available at URL: https://arxiv.org/abs/0902.2516

zbMATH Keywords

Markov-modulated Poisson processliquidity modelingoptimal order executiondark pools

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Portfolio theory (91G10)

Related Items (21)

An algorithmic approach to optimal asset liquidation problems ⋮ Optimal Execution with Dynamic Order Flow Imbalance ⋮ Optimal order placement in limit order markets ⋮ Optimal Decisions in a Time Priority Queue ⋮ LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY ⋮ Optimal Trade Execution Under Stochastic Volatility and Liquidity ⋮ Algorithmic Trading with Model Uncertainty ⋮ Optimal Market Making under Partial Information with General Intensities ⋮ Optimal execution with limit and market orders ⋮ Mean-Field Game Strategies for Optimal Execution ⋮ Rate control under heavy traffic with strategic servers ⋮ Endogenous Formation of Limit Order Books: Dynamics Between Trades ⋮ Optimal control of semi-Markov processes with a backward stochastic differential equations approach ⋮ Pricing European options in a discrete time model for the limit order book ⋮ ALGORITHMIC TRADING WITH LEARNING ⋮ OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS ⋮ The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets ⋮ OPTIMAL EXECUTION HORIZON ⋮ Optimal execution with stochastic delay ⋮ Dynamic equilibrium limit order book model and optimal execution problem ⋮ Dynamic optimal execution in a mixed-market-impact Hawkes price model

Cites Work

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• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
• Inventory management with partially observed nonstationary demand
• Sequential tracking of a hidden Markov chain using point process observations
• OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
• A full information pricing problem for the sale of several identical commodities
• On an optimal selection problem of Cowan and Zabczyk
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Optimal execution strategies in limit order books with general shape functions

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