MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY

Related Items (4)

Optimal market making ⋮ OPTIMAL EXECUTION COST FOR LIQUIDATION THROUGH A LIMIT ORDER MARKET ⋮ Portfolio liquidation under factor uncertainty ⋮ Optimal Execution: A Review

Cites Work

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High-frequency trading in a limit order book
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Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
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Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach
Optimal high-frequency trading with limit and market orders

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