GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
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Publication:5262510
DOI10.1111/mafi.12052zbMath1331.91165arXiv1204.0148OpenAlexW2097372502MaRDI QIDQ5262510
Olivier Guéant, Charles-Albert Lehalle
Publication date: 15 July 2015
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1204.0148
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Related Items (29)
Incorporating order-flow into optimal execution ⋮ Closed-form Approximations in Multi-asset Market Making ⋮ Mean field game of controls and an application to trade crowding ⋮ Optimal order placement in limit order markets ⋮ Optimal execution with uncertain order fills in Almgren–Chriss framework ⋮ Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics ⋮ Optimal solution of the liquidation problem under execution and price impact risks ⋮ Optimal Liquidity-Based Trading Tactics ⋮ Double Deep Q-Learning for Optimal Execution ⋮ Size matters for OTC market makers: General results and dimensionality reduction techniques ⋮ Computational Methods for Market Making Algorithms ⋮ Optimal liquidation through a limit order book: a neural network and simulation approach ⋮ Algorithmic Trading with Model Uncertainty ⋮ OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS ⋮ Optimal market making ⋮ Optimal accelerated share repurchases ⋮ Optimal Market Making under Partial Information with General Intensities ⋮ Optimal execution with limit and market orders ⋮ A class of optimal liquidation problem with a nonlinear temporary market impact ⋮ Order execution probability and order queue in limit order markets ⋮ OPTIMAL LIQUIDATION AND ADVERSE SELECTION IN DARK POOLS ⋮ Rate control under heavy traffic with strategic servers ⋮ Endogenous Formation of Limit Order Books: Dynamics Between Trades ⋮ Optimal liquidation problem in illiquid markets ⋮ Optimal Execution and Block Trade Pricing: A General Framework ⋮ Optimal hedging through limit orders ⋮ Algorithmic market making for options ⋮ PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME ⋮ Optimal Execution: A Review
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