Optimal order execution under price impact: a hybrid model

DOI10.1007/S10479-022-05082-8zbMATH Open1537.91298MaRDI QIDQ6549607

C. Tebaldi, Marina Di Giacinto, Tai-Ho Wang

Publication date: 4 June 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

stochastic optimal controlprice impactoptimal executioninventory costorder fill uncertainty

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial markets (91G15)

Cites Work

• Title not available (Why is that?)
• Optimal trade execution: a mean quadratic variation approach
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• The self-financing equation in limit order book markets
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• Optimal execution with uncertain order fills in Almgren–Chriss framework
• Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience
• Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
• Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
• A persistence‐based Wold‐type decomposition for stationary time series
• Optimal Execution with Quadratic Variation Inventories

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