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An Optimal Execution Problem with S-shaped Market Impact Functions. (2017). Kato, Takashi.
In: Papers.
RePEc:arx:papers:1706.09224.

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Cocites

Documents in RePEc which have cited the same bibliography

  1. A note on Almgren-Chriss optimal execution problem with geometric Brownian motion. (2020). Benveniste, Jerome ; Baldacci, Bastien.
    In: Papers.
    RePEc:arx:papers:2006.11426.

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  2. Portfolio Choice with Small Temporary and Transient Price Impact. (2019). Muhle-Karbe, Johannes ; Ekren, Ibrahim.
    In: Papers.
    RePEc:arx:papers:1705.00672.

    Full description at Econpapers || Download paper

  3. Periodic strategies in optimal execution with multiplicative price impact. (2018). Moreno-Franco, Harold A ; Hern, Daniel .
    In: Papers.
    RePEc:arx:papers:1705.00284.

    Full description at Econpapers || Download paper

  4. Optimal Asset Liquidation with Multiplicative Transient Price Impact. (2017). Becherer, Dirk ; Bilarev, Todor ; Frentrup, Peter .
    In: Papers.
    RePEc:arx:papers:1501.01892.

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  5. A market impact game under transient price impact. (2017). Schied, Alexander ; Zhang, Tao.
    In: Papers.
    RePEc:arx:papers:1305.4013.

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  6. Hydrodynamic limit of order book dynamics. (2016). Dieker, A. B. ; Gao, Xuefeng ; Deng, S. J. ; Dai, J. G..
    In: Papers.
    RePEc:arx:papers:1411.7502.

    Full description at Econpapers || Download paper

  7. Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf360.

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  8. A law of large numbers for limit order books. (2015). Horst, Ulrich ; Paulsen, Michael .
    In: Papers.
    RePEc:arx:papers:1501.00843.

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  9. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2015). Alfonsi, Aur'elien ; Blanc, Pierre .
    In: Papers.
    RePEc:arx:papers:1404.0648.

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  10. Trading with Small Price Impact. (2015). Muhle-Karbe, Johannes ; Soner, Mete H. ; Moreau, Ludovic .
    In: Papers.
    RePEc:arx:papers:1402.5304.

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  11. Multivariate transient price impact and matrix-valued positive definite functions. (2015). Schied, Alexander ; Klock, Florian ; Alfonsi, Aur'elien .
    In: Papers.
    RePEc:arx:papers:1310.4471.

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  12. An optimal execution problem with market impact. (2014). Kato, Takashi.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:18:y:2014:i:3:p:695-732.

    Full description at Econpapers || Download paper

  13. On Linearity Of Transaction Costs In Order Driven Market. (2014). Andreev, Nikolay.
    In: HSE Working papers.
    RePEc:hig:wpaper:38/fe/2014.

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  14. A stochastic control approach for options market making. (2014). Abergel, Frederic ; el Aoud, Sofiene.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01061852.

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  15. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Alfonsi, Aurelien ; Blanc, Pierre .
    In: Working Papers.
    RePEc:hal:wpaper:hal-00971369.

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  16. Tug-of-war, market manipulation and option pricing. (2014). Nystrom, Kaj ; Parviainen, Mikko .
    In: Papers.
    RePEc:arx:papers:1410.1664.

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  17. High-Resilience Limits of Block-Shaped Order Books. (2014). Kallsen, Jan ; Muhle-Karbe, Johannes.
    In: Papers.
    RePEc:arx:papers:1409.7269.

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  18. Permanent market impact can be nonlinear. (2014). Olivier Gu'eant, .
    In: Papers.
    RePEc:arx:papers:1305.0413.

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  19. Optimal order placement in limit order markets. (2014). Kukanov, Arseniy ; Cont, Rama.
    In: Papers.
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  20. An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process. (2014). Kato, Takashi.
    In: Papers.
    RePEc:arx:papers:1107.1787.

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  21. An Optimal Execution Problem with Market Impact. (2014). Kato, Takashi.
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    RePEc:arx:papers:0907.3282.

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  22. Competition between stock exchanges and optimal trading. (2013). van Kervel, Vincent.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:5c608a0f-527d-441d-a910-ef01ce6183f8.

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  23. Limit order books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742.

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  24. The order book as a queueing system: average depth and influence of the size of limit orders. (2013). Toke, Ioane Muni.
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  25. Capacitary measures for completely monotone kernels via singular control. (2013). Schied, Alexander ; Alfonsi, Aurelien.
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  26. Price Dynamics in a Markovian Limit Order Market. (2013). De Larrard, Adrien ; Cont, Rama.
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  27. Optimal trading strategy and supply/demand dynamics. (2013). Obizhaeva, Anna ; Wang, Jiang.
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  28. A Monte Carlo method for optimal portfolio executions. (2013). Nuyens, Dirk ; Achtsis, Nico .
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  29. The Self-Financing Equation in High Frequency Markets. (2013). Webster, Kevin ; Carmona, Rene.
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  31. Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process. (2013). LEHALLE, Charles-Albert.
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  32. General Intensity Shapes in Optimal Liquidation. (2013). LEHALLE, Charles-Albert ; Olivier Gu'eant, .
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  33. Hedging through a Limit Order Book with Varying Liquidity. (2012). Gencay, Ramazan ; Genay, Ramazan ; Agliardi, Rossella.
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  34. Optimal order placement in limit order markets. (2012). Kukanov, Arseniy ; Cont, Rama.
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  43. Optimal trade execution and absence of price manipulations in limit order book models. (2010). Schied, Alexander ; Alfonsi, Aurelien.
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