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Small impact analysis in stochastically illiquid markets. (2021). Kivman, Evgueni ; Horst, Ulrich.
In: Papers.
RePEc:arx:papers:2103.05957.

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Cited: 3

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Cites: 30

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Cocites: 50

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Coauthors: 0

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Citations

Citations received by this document

  1. Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems. (2022). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia.
    In: Papers.
    RePEc:arx:papers:2206.03772.

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  2. Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models. (2021). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:25:y:2021:i:4:d:10.1007_s00780-021-00464-5.

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  3. On effects of negative resilience on optimal trade execution in stochastic order books. (2021). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia.
    In: Papers.
    RePEc:arx:papers:2112.03789.

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References

References cited by this document

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Cocites

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  2. Portfolio Choice with Small Temporary and Transient Price Impact. (2019). Muhle-Karbe, Johannes ; Ekren, Ibrahim.
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  3. Periodic strategies in optimal execution with multiplicative price impact. (2018). Moreno-Franco, Harold A ; Hern, Daniel .
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  7. Liquidity Effects of Trading Frequency. (2017). Gayduk, Roman ; Nadtochiy, Sergey.
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  13. Simultaneous Trading in Lit and Dark Pools. (2016). Crisafi, Alessandra M. ; Macrina, Andrea.
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