Optimal Execution with Quadratic Variation Inventories

DOI10.1137/21m1416564zbMath1520.91383arXiv2104.14615OpenAlexW3172281731MaRDI QIDQ6169622

Laura Leal, René A. Carmona

Publication date: 15 August 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.14615

zbMATH Keywords

Brownian motionquadratic variationquantitative financehigh-frequency econometrics

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial markets (91G15)

Cites Work

• Incorporating order-flow into optimal execution
• Modeling high-frequency financial data by pure jump processes
• Nonparametric tests for pathwise properties of semimartingales
• A Gaussian calculus for inference from high frequency data
• Is Brownian motion necessary to model high-frequency data?
• Irregular sampling and central limit theorems for power variations: the continuous case
• The self-financing equation in limit order book markets
• A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
• Learning a functional control for high-frequency finance
• Optimal Execution with Rough Path Signatures
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