Price Manipulation and Quasi-Arbitrage
From MaRDI portal
Publication:5475045
DOI10.1111/j.1468-0262.2004.00531.xzbMath1141.91450OpenAlexW2155792697MaRDI QIDQ5475045
Publication date: 16 June 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1468-0262.2004.00531.x
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (72)
Queueing Dynamics and State Space Collapse in Fragmented Limit Order Book Markets ⋮ Regularity properties in a state-constrained expected utility maximization problem ⋮ The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books ⋮ The impact of systemic and illiquidity risk on financing with risky collateral ⋮ Why is equity order flow so persistent? ⋮ Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy ⋮ Adaptive basket liquidation ⋮ Dynamic portfolio choice with frictions ⋮ Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions ⋮ Optimal trade execution: a mean quadratic variation approach ⋮ Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions ⋮ Optimal execution with non-linear transient market impact ⋮ OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY ⋮ OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISK-AVERSE INVESTOR ⋮ Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution ⋮ Optimal pair-trade execution with generalized cross-impact ⋮ Probabilistic aspects of finance ⋮ Scaling limits for super-replication with transient price impact ⋮ Transaction cost analytics for corporate bonds ⋮ Estimating permanent price impact via machine learning ⋮ Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies ⋮ Optimal Execution and Price Manipulations in Time-varying Limit Order Books ⋮ Microfoundations for diffusion price processes ⋮ Strategic Execution Trajectories ⋮ A Hamilton-Jacobi-Bellman approach to optimal trade execution ⋮ Portfolio liquidation games with self‐exciting order flow ⋮ Reverse stress testing: Scenario design for macroprudential stress tests ⋮ New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact ⋮ A limit order book model for latency arbitrage ⋮ Hedging with physical or cash settlement under transient multiplicative price impact ⋮ Price impact under heterogeneous beliefs and restricted participation ⋮ Liquidating illiquid collateral ⋮ Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk ⋮ Statistical characteristics of price impact in high-frequency trading ⋮ Price manipulation in a market impact model with dark pool ⋮ Market impact with multi-timescale liquidity ⋮ Cross-impact and no-dynamic-arbitrage ⋮ Optimal and equilibrium execution strategies with generalized price impact ⋮ OPTIMAL LIQUIDATION AND ADVERSE SELECTION IN DARK POOLS ⋮ The impact of illiquidity on the asset management of insurance companies ⋮ TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS ⋮ Optimal liquidation problem in illiquid markets ⋮ DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS ⋮ Price manipulation, dynamic informed trading, and the uniqueness of equilibrium in sequential trading ⋮ A class of optimal portfolio liquidation problems with a linear decreasing impact ⋮ Rational destabilization in a frictionless market ⋮ High frequency trading, liquidity, and execution cost ⋮ Liquidity risk and the term structure of interest rates ⋮ On the minimizers of energy forms with completely monotone kernel ⋮ No-dynamic-arbitrage and market impact ⋮ A fully consistent, minimal model for non-linear market impact ⋮ Market impact as anticipation of the order flow imbalance ⋮ Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders ⋮ A trade execution model under a composite dynamic coherent risk measure ⋮ Adaptive Execution: Exploration and Learning of Price Impact ⋮ Optimal Basket Liquidation for CARA Investors is Deterministic ⋮ Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity ⋮ Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters ⋮ PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES ⋮ Continuous-time duality for superreplication with transient price impact ⋮ A Market Impact Game Under Transient Price Impact ⋮ Optimal Investment with Transient Price Impact ⋮ On derivatives with illiquid underlying and market manipulation ⋮ Agent-based modelling in directional-change intrinsic time ⋮ Finite horizon optimal execution with bounded rate of transaction ⋮ Optimal liquidation in dark pools ⋮ Optimal Execution with Multiplicative Price Impact ⋮ Price formation and optimal trading in intraday electricity markets ⋮ How efficiency shapes market impact ⋮ Liquidation with self-exciting price impact ⋮ Dynamic optimal execution in a mixed-market-impact Hawkes price model ⋮ On Regularized Optimal Execution Problems and Their Singular Limits
This page was built for publication: Price Manipulation and Quasi-Arbitrage