Optimal execution with non-linear transient market impact

DOI10.1080/14697688.2016.1181274zbMath1402.91680arXiv1412.4839OpenAlexW2402405276MaRDI QIDQ4555057

Jim Gatheral, Fabrizio Lillo, Gianbiagio Curato

Publication date: 19 November 2018

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

Full work available at URL: https://arxiv.org/abs/1412.4839

zbMATH Keywords

sequential quadratic programmingliquidityoptimal executionmarket impactprice manipulation

Mathematics Subject Classification ID

Quadratic programming (90C20) Portfolio theory (91G10)

Related Items (11)

Optimal trade execution for Gaussian signals with power-law resilience ⋮ Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution ⋮ Deep differentiable reinforcement learning and optimal trading ⋮ Strategic Execution Trajectories ⋮ Optimal Execution with Rough Path Signatures ⋮ A class of optimal liquidation problem with a nonlinear temporary market impact ⋮ Cross-impact and no-dynamic-arbitrage ⋮ Incorporating signals into optimal trading ⋮ Deep learning for limit order books ⋮ Finite horizon optimal execution with bounded rate of transaction ⋮ On Regularized Optimal Execution Problems and Their Singular Limits

Uses Software

• Optimization Toolbox
• Parallel Computing Toolbox

Cites Work

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