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Optimal control of execution costs. (1998). Lo, Andrew ; Bertsimas, Dimitris.
In: Journal of Financial Markets.
RePEc:eee:finmar:v:1:y:1998:i:1:p:1-50.

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  2. A simple learning agent interacting with an agent-based market model. (2024). Gebbie, Tim ; Paskaramoorthy, Andrew ; Dicks, Matthew.
    In: Physica A: Statistical Mechanics and its Applications.
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  3. Block trade contracting. (2024). Baldauf, Markus ; Mollner, Joshua ; Frei, Christoph.
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  4. Execution uncertainty of dark pools and portfolio balance. (2024). Li, Tangrong ; Sun, Xuchu ; Zhu, Jianchang.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003064.

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  5. Optimal Execution Strategies Incorporating Internal Liquidity Through Market Making. (2024). Morimoto, Yusuke.
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  6. Strategic Learning and Trading in Broker-Mediated Markets. (2024). Aqsha, Alif ; Drissi, Fayccal.
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  7. Market Making without Regret. (2024). Colomboni, Roberto ; Cesari, Tommaso ; Cesa-Bianchi, Nicolo ; Pathak, Vinayak ; Foscari, Luigi.
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  8. Trade execution games in a Markovian environment. (2024). Shimoshimizu, Makoto ; Ohnishi, Masamitsu.
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  9. The Democratization of Wealth Management: Hedged Mutual Fund Blockchain Protocol. (2024). Kashyap, Ravi.
    In: Papers.
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  10. A discrete-time optimal execution problem with market prices subject to random environments. (2023). Pacheco, Carlos G ; Jasso-Fuentes, Hector ; Salgado-Suarez, Gladys D.
    In: TOP: An Official Journal of the Spanish Society of Statistics and Operations Research.
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  11. Optimal execution with multiplicative price impact and incomplete information on the return. (2023). Ferrari, Giorgio ; Dammann, Felix.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:27:y:2023:i:3:d:10.1007_s00780-023-00508-y.

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  12. Trade-time clustering. (2023). Sun, Wei ; Jain, Pankaj K ; Black, Jeffrey R.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:60:y:2023:i:3:d:10.1007_s11156-023-01125-8.

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  13. Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market. (2023). Song, Shijia ; Luo, Qixuan ; Li, Handong.
    In: Computational Economics.
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  14. Leveraged Exchange-Traded Funds with Market Closure and Frictions. (2023). Yang, Chen ; Soner, Mete H ; Kou, Steven ; Dai, Min.
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  15. On a Data-Driven Optimization Approach to the PID-Based Algorithmic Trading. (2023). Guzman, Luz Adriana ; Dernov, Yuri ; Shirokov, Ilya ; Azhmyakov, Vadim.
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  16. Trader positions and aggregate portfolio demand. (2023). Tuzun, Tugkan ; Roberts, John S ; Onur, Esen.
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    In: Global Finance Journal.
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  18. Order splitting and interacting with a counterparty. (2023). van Kervel, Vincent ; Kwan, Amy ; Westerholm, Joakim P.
    In: Journal of Financial Markets.
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  19. Optimal liquidation strategy for cryptocurrency marketplaces using stochastic control. (2023). Acharya, Dipesh ; Mizukami, Daiki ; Nakagawa, Kei ; Kubo, Kenji.
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  20. Portfolio liquidation with delayed information. (2023). Wong, Hoi Ying ; Chiu, Mei Choi ; Yan, Tingjin.
    In: Economic Modelling.
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  21. Social contagion and the survival of diverse investment styles. (2023). Hirshleifer, David ; Zhang, Ruixun ; Lo, Andrew W.
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  22. DeFi Security: Turning The Weakest Link Into The Strongest Attraction. (2023). Kashyap, Ravi.
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  23. Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot. (2023). Jacka, Saul D ; Gupta, Puru.
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  24. Macroscopic Market Making. (2023). Nam, Kihun ; Jin, Shijia ; Guo, Ivan.
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  25. An Adaptive Dual-level Reinforcement Learning Approach for Optimal Trade Execution. (2023). Hong, Youngjoon ; Sul, Hong Kee ; Kim, Jimyeong.
    In: Papers.
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  26. Evaluation of Deep Reinforcement Learning Algorithms for Portfolio Optimisation. (2023). Lu, Chung I.
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  27. Approximately optimal trade execution strategies under fast mean-reversion. (2023). Thamsten, Yuri ; Evangelista, David.
    In: Papers.
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  28. Decentralised Finance and Automated Market Making: Execution and Speculation. (2023). Monga, Marcello ; Drissi, Fayccal ; 'Alvaro Cartea, .
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  29. Optimal Execution Using Reinforcement Learning. (2023). Yang, Can ; He, Jiafa ; Zheng, Cong.
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  30. Optimal Portfolio Execution in a Regime-switching Market with Non-linear Impact Costs: Combining Dynamic Program and Neural Network. (2023). Mulvey, John M ; Li, Xiaoyue.
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  31. Nash equilibria for relative investors with (non)linear price impact. (2023). Goll, Tamara ; Bauerle, Nicole.
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    RePEc:arx:papers:2303.18161.

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  32. Deep Reinforcement Learning for Gas Trading. (2023). Michler, Christian ; Granger, Nikita P ; Cy, Alexander ; Miao, Yinsen ; Wang, Yuanrong.
    In: Papers.
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  33. Optimal liquidation under indirect price impact with propagator. (2023). Hainaut, Donatien ; Dupret, Jean-Loup.
    In: LIDAM Discussion Papers ISBA.
    RePEc:aiz:louvad:2023012.

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  35. Estimating price impact via deep reinforcement learning. (2022). Zhai, Jia ; Cao, YI.
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  37. Optimal portfolio liquidation with cross-price impacts on trading. (2022). Lai, Kin Keung ; Guo, Jue ; Li, YI ; Shi, Jinzhao.
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  38. Portfolio Liquidation Games with Self-Exciting Order Flow. (2022). Xia, Xiaonyu ; Horst, Ulrich ; Fu, Guanxing.
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  39. The liquidity of shares and the risk of bankruptcy. (2022). Gniadkowska-Szymaska, Agata.
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  40. Optimal Pair–Trade Execution with Generalized Cross–Impact. (2022). Shimoshimizu, Makoto ; Ohnishi, Masamitsu.
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  41. Principal Trading Arrangements: When Are Common Contracts Optimal?. (2022). Mollner, Joshua ; Frei, Christoph ; Baldauf, Markus.
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  42. Do fundamentals shape the price response? A critical assessment of linear impact models. (2022). Benzaquen, Michael ; Mastromatteo, Iacopo ; Toth, Bence ; Vodret, Michele.
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  43. Optimal liquidation problem in illiquid markets. (2022). Vecer, Jan ; Sadoghi, Amirhossein.
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  44. Realized semibetas: Disentangling “good” and “bad” downside risks. (2022). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim.
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  45. Deep reinforcement learning for the optimal placement of cryptocurrency limit orders. (2022). Schnaubelt, Matthias.
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  46. Optimal liquidation problem in illiquid markets. (2022). Vecer, Jan ; Sadoghi, Amirhossein.
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  47. Price impact, strategic interaction and portfolio choice. (2022). Curatola, Giuliano.
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  49. Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return. (2022). Ferrari, Giorgio ; Dammann, Felix.
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  50. Hierarchical Deep Reinforcement Learning for VWAP Strategy Optimization. (2022). Li, Qing ; Zou, Chenxin ; Wu, Pangjing.
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  51. Model-based gym environments for limit order book trading. (2022). Herdegen, Martin ; Savani, Rahul ; Sanchez-Betancourt, Leandro ; Jerome, Joseph.
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  53. Imitate then Transcend: Multi-Agent Optimal Execution with Dual-Window Denoise PPO. (2022). Zhang, Xinwen ; Xiang, YI ; Weng, Jiacheng ; Fang, Jin.
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  54. Do price trajectory data increase the efficiency of market impact estimation?. (2022). Nevmyvaka, Yuriy ; Schneider, Anderson ; Kinnear, Ryan ; Ihnatiuk, Vitalii ; Li, Fengpei.
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  56. Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return. (2022). Dammann, Felix ; Ferrari, Giorgio.
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  57. Rigorous multi-asset optimal execution with Bayesian learning of the drift. (2022). Drissi, Fayccal.
    In: Papers.
    RePEc:arx:papers:2202.07478.

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  62. Managing liquidity with portfolio staleness. (2021). Buccheri, Giuseppe ; Trapin, Luca ; Pirino, Davide.
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  63. Research on the Effects of Institutional Liquidation Strategies on the Market Based on Multi-agent Model. (2021). Li, Han Dong ; Zhou, Xuan ; Shi, YU ; Luo, Qixuan.
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  64. Two price economic equilibria and financial market bid/ask prices. (2021). Siu, Tak Kuen ; Madan, Dilip B ; Elliott, Robert J.
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  65. Order Routing Decisions for a Fragmented Market: A Review. (2021). Zhao, LE ; Mishra, Suchismita.
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  66. Spoofing and pinging in foreign exchange markets. (2021). Stenfors, Alexis ; Susai, Masayuki.
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  67. In search of retail investors: The effect of retail investor attention on odd lot trades. (2021). Schmidt, Markus G ; Kupfer, Alexander.
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  68. Equilibrium selection for multi-portfolio optimization. (2021). Neumann, Christoph ; Lampariello, Lorenzo ; Stein, Oliver ; Sagratella, Simone ; Ricci, Jacopo M.
    In: European Journal of Operational Research.
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  69. Liquidity in competitive dealer markets. (2021). Muhlekarbe, Johannes ; Ekren, Ibrahim ; Bank, Peter.
    In: Mathematical Finance.
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  70. Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case. (2021). Bayraktar, Erhan ; Ekren, Ibrahim ; Caye, Thomas.
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  71. Fire?Sale Spillovers and Systemic Risk. (2021). Eisenbach, Thomas ; Duarte, Fernando.
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  72. Do fundamentals shape the price response? A critical assessment of linear impact models. (2021). Benzaquen, Michael ; Mastromatteo, Iacopo ; Vodret, Michele.
    In: Papers.
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  73. Optimal trading: a model predictive control approach. (2021). Reydellet, Serge ; Perreton, Jean-Franccois ; Clinet, Simon.
    In: Papers.
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  74. Reinforcement Learning for Quantitative Trading. (2021). An, BO ; Wang, Rundong ; Sun, Shuo.
    In: Papers.
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  75. Research on Portfolio Liquidation Strategy under Discrete Times. (2021). Li, Handong ; Shi, YU ; Luo, Qixuan.
    In: Papers.
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  76. Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics. (2021). Gu, Olivier ; Drissi, Fayccal ; Bergault, Philippe.
    In: Papers.
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  77. Universal Trading for Order Execution with Oracle Policy Distillation. (2021). Yu, Yong ; Bian, Jiang ; Zhang, Weinan ; Zhou, Dong ; Liu, Weiqing ; Ren, Kan ; Fang, Yuchen.
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  78. Small impact analysis in stochastically illiquid markets. (2021). Kivman, Evgueni ; Horst, Ulrich.
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  79. On regularized optimal execution problems and their singular limits. (2021). Thamsten, Yuri ; Souza, Max O.
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  83. Does trade size restriction affect trading behavior? Evidence from Indian single stock futures market. (2020). Banerjee, Ashok.
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  84. Information versus imitation in a real-time agent-based model of financial markets. (2020). Biondo, Alessio Emanuele.
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  85. Deep limit order book events dynamics. (2020). Bilodeau, Yann.
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  86. The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets. (2020). Takayasu, Misako ; Christensen, Kim ; Sueshige, Takumi ; Ciacci, Alberto.
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  87. Outsized arbitrage. (2020). Makarov, Igor.
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  88. Optimal liquidation trajectories for the Almgren-Chriss model. (2020). Lokka, A ; Xu, Junwei.
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  89. Optimal liquidation under partial information with price impact. (2020). Szolgyenyi, Michaela ; Frey, Rudiger ; Eksi, Zehra ; Colaneri, Katia.
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  90. David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs. (2020). Kashyap, Ravi.
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  91. Estimation of level-I hidden liquidity using the dynamics of limit order-book. (2020). Sim, Min Kyu ; Deng, Shijie.
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  92. Pre-trade hedging: Evidence from the issuance of retail structured products. (2020). Pearson, Neil D ; Henderson, Brian J ; Wang, LI.
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  93. Algorithmic trading for online portfolio selection under limited market liquidity. (2020). Zhang, Hai.
    In: European Journal of Operational Research.
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  94. Estimating permanent price impact via machine learning. (2020). Philip, R.
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  95. Optimal investment and consumption with return predictability and execution costs. (2020). Zhu, Song-Ping ; Siu, Chi Chung ; Ma, Guiyuan.
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  97. Price Impact on Term Structure. (2020). Neuman, Eyal ; Graceffa, Federico ; Brigo, Damiano.
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  98. Portfolio Liquidation Games with Self-Exciting Order Flow. (2020). Horst, Ulrich ; Fu, Guanxing ; Xia, Xiaonyu.
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  99. Optimal Order Execution in Intraday Markets: Minimizing Costs in Trade Trajectories. (2020). Ziel, Florian ; Kath, Christopher.
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  100. Transaction Costs in Execution Trading. (2020). Marcos, David.
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  101. Learning a functional control for high-frequency finance. (2020). Lehalle, Charles-Albert ; Lauriere, Mathieu ; Leal, Laura.
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  102. C\`adl\`ag semimartingale strategies for optimal trade execution in stochastic order book models. (2020). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia.
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  103. An overall view of key problems in algorithmic trading and recent progress. (2020). Karpe, Michael.
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  104. A Stochastic LQR Model for Child Order Placement in Algorithmic Trading. (2020). Shen, Jackie Jianhong .
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  105. Optimal execution with liquidity risk in a diffusive order book market. (2020). Lee, Kiseop.
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  106. Finite population games of optimal execution. (2020). Thamsten, Yuri ; Evangelista, David.
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  107. Deep Deterministic Portfolio Optimization. (2020). de Lataillade, Joachim ; Emmanuel, ; Schmidt, Christian ; Hardiman, Stephen ; Chaouki, Ayman.
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  108. Optimal liquidation trajectories for the Almgren-Chriss model with Levy processes. (2020). Xu, Junwei ; Lokka, Arne.
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  109. Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect?. (2019). Hautsch, Nikolaus ; Walsh, Christopher ; Cebiroglu, Gokhan .
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  110. OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT. (2019). Lorig, Matthew ; Barger, Weston.
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  111. Multi-dimensional optimal trade execution under stochastic resilience. (2019). Xia, Xiaonyu ; Horst, Ulrich.
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  112. Incorporating signals into optimal trading. (2019). Neuman, Eyal ; Lehalle, Charles-Albert.
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  113. Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity. (2019). Sun, Edward ; Chen, Yi-Ting ; Kruse, Timm .
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  114. A MEAN FIELD GAME OF PORTFOLIO TRADING AND ITS CONSEQUENCES ON PERCEIVED CORRELATIONS. (2019). Mouzouni, Charafeddine ; Lehalle, Charles-Albert.
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  115. Is Factor Investing Sustainable after Price Impact Costs? The Capacity of Factor Investing in Korea. (2019). Park, Yuen Jung ; Kim, Jungmu.
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  116. Information and trading targets in a dynamic market equilibrium. (2019). Choi, Jin Hyuk ; Seppi, Duane J ; Larsen, Kasper.
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  117. Short-term trading skill: An analysis of investor heterogeneity and execution quality. (2019). Sotiropoulos, Michael G ; Moallemi, Ciamac C ; Salam, Mehmet.
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  118. Optimal execution with regime-switching market resilience. (2019). Elliott, Robert J ; Zhu, Song-Ping ; Guo, Ivan ; Siu, Chi Chung.
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  119. DYNAMIC PREDICTOR SELECTION AND ORDER SPLITTING IN A LIMIT ORDER MARKET. (2019). Yamamoto, Ryuichi.
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  120. Evaluating fund capacity: issues and methods. (2019). O'Neill, Michael J ; Warren, Geoffrey J.
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  121. Mechanics of good trade execution in the framework of linear temporary market impact. (2019). Brigo, Damiano ; Bellani, Claudio.
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  122. Optimal execution with rough path signatures. (2019). Arribas, Imanol Perez ; Lyons, Terry ; Kalsi, Jasdeep.
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  123. A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations. (2019). Mouzouni, Charafeddine ; Lehalle, Charles-Albert.
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  124. High-dimensional statistical arbitrage with factor models and stochastic control. (2019). Guijarro-Ordonez, Jorge.
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  125. Optimal execution with dynamic risk adjustment. (2019). Wang, Tai-Ho ; di Giacinto, Marina ; Cheng, Xue.
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  126. Static vs Adaptive Strategies for Optimal Execution with Signals. (2019). Brigo, Damiano ; Neuman, Eyal ; Done, Alex ; Bellani, Claudio.
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  127. Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case. (2019). Bayraktar, Erhan ; Ekren, Ibrahim ; Caye, Thomas.
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  128. Optimal Execution Strategy Under Price and Volume Uncertainty. (2019). Hauser, Raphael ; Vaes, Julien.
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  129. Nash equilibrium for risk-averse investors in a market impact game with transient price impact. (2019). Schied, Alexander ; Luo, Xiangge.
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  130. Portfolio Choice with Small Temporary and Transient Price Impact. (2019). Muhle-Karbe, Johannes ; Ekren, Ibrahim.
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  131. Optimal Liquidation under Partial Information with Price Impact. (2019). Frey, Rudiger ; Eksi, Zehra ; Colaneri, Katia ; Szolgyenyi, Michaela.
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  132. Reinforcement learning in financial markets - a survey. (2018). Fischer, Thomas G.
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  133. Too fast or too slow? Determining the optimal speed of financial markets. (2018). Fricke, Daniel ; Gerig, Austin.
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  134. Regularity properties in a state-constrained expected utility maximization problem. (2018). Lazgham, Mourad .
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  135. Rebalancing Multiple Assets with Mutual Price Impact. (2018). Weber, Marko H ; Guasoni, Paolo.
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  136. Spoofing and Pinging in Foreign Exchange Markets. (2018). Stenfors, Alexis ; Susai, Masayuki.
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  137. Systematic Systemic Stress Tests. (2018). Summer, Martin ; Breuer, Thomas.
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  138. Gradual Bargaining in Decentralized Asset Markets. (2018). In, Younghwan ; Hu, Tai-Wei ; Lebeau, Lucie ; Rocheteau, Guillaume.
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  139. Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures. (2018). Powell, Warren B ; Jiang, Daniel R.
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  140. A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure. (2018). Wang, Chun ; Kou, Steven ; Chen, Ningyuan.
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  141. Optimal execution with price impact under Cumulative Prospect Theory. (2018). Li, Xindan ; Zhao, Jingdong ; Zhu, Hongliang.
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  142. Forex trading and the WMR Fix. (2018). Martin, .
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  143. Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions. (2018). Komadel, Jan ; Brunovsk, Pavol ; Ern, Ale .
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  144. Optimal order execution using hidden orders. (2018). Chen, Yuanyuan ; Li, Duan ; Gao, Xuefeng.
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  145. Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their Effect on Portfolio Execution. (2018). Moallemi, Ciamac C ; Maglaras, Costis ; Min, Seungki.
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  146. Optimal trading using signals. (2018). Lehalle, Charles-Albert ; de March, Hadrien.
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  147. Optimal Trading with General Signals and Liquidation in Target Zone Models. (2018). Ou, Kevin ; Muhle-Karbe, Johannes ; Belak, Christoph.
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  148. Liquidity in Competitive Dealer Markets. (2018). Muhle-Karbe, Johannes ; Ekren, Ibrahim ; Bank, Peter.
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  149. Optimal liquidation under stochastic price impact. (2018). Lorig, Matthew ; Barger, Weston.
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  150. Optimal liquidity-based trading tactics. (2018). Rosenbaum, Mathieu ; Mounjid, Othmane ; Lehalle, Charles-Albert.
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  151. Mini-Flash Crashes, Model Risk, and Optimal Execution. (2018). Bayraktar, Erhan ; Munk, Alexander .
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  152. Incorporating Signals into Optimal Trading. (2018). LEHALLE, Charles-Albert ; Neuman, Eyal.
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  153. David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs. (2018). Kashyap, Ravi.
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  154. IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING. (2017). Allaj, Erindi.
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  155. OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS. (2017). Agliardi, Rossella ; Genay, Ramazan.
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  156. Hedging and pricing illiquid options with market impacts. (2017). Saito, Taiga.
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  157. Hedging and Pricing Illiquid Options with Market Impacts. (2017). Saito, Taiga.
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  158. Optimal execution strategy and liquidity adjusted value-at-risk. (2017). Jin, Yasong.
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  159. Optimal execution with non-linear transient market impact. (2017). Curato, Gianbiagio ; Lillo, Fabrizio ; Gatheral, Jim.
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  160. Latency and liquidity provision in a limit order book. (2017). Bonart, Julius ; Gould, Martin D.
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  161. Forex Trading and the WMR Fix. (2017). Evans, Martin.
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  162. An Algorithmic Approach to Optimal Asset Liquidation Problems. (2017). Yee, Jeremy ; Hinz, Juri.
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  163. Optimal Liquidation of Child Limit Orders. (2017). Zhou, W ; S. C. P. Yam, .
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  164. An Empirical Analysis of Market Segmentation on U.S. Equity Markets. (2017). Hatheway, Frank ; Zheng, Hui ; Kwan, Amy.
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  165. Hedging and Pricing Illiquid Options with Market Impacts (Forthcoming in International Journal of Financial Engineering). (2017). Saito, Taiga.
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  166. Dealer Trading at the Fix. (2017). Turnbull, Alasdair ; Osler, Carol .
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  167. An Optimal Execution Problem with S-shaped Market Impact Functions. (2017). Kato, Takashi.
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  168. An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model. (2017). Kato, Takashi.
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  169. Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience. (2017). Horst, Ulrich ; Graewe, Paulwin.
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  170. Generalized Optimal Liquidation Problems Across Multiple Trading Venues. (2017). Siu, Tak Kuen ; Yang, Qing-Qing ; Gu, Jia-Wen ; Ching, Wai-Ki.
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  171. Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets. (2017). Hendricks, Dieter.
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  172. Optimal Asset Liquidation with Multiplicative Transient Price Impact. (2017). Becherer, Dirk ; Bilarev, Todor ; Frentrup, Peter .
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  173. VWAP Execution as an Optimal Strategy. (2017). Kato, Takashi.
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  174. Rebalancing with Linear and Quadratic Costs. (2017). Muhle-Karbe, Johannes ; Liu, Ren ; Weber, Marko.
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  175. A market impact game under transient price impact. (2017). Schied, Alexander ; Zhang, Tao.
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  176. SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS. (2016). Crisafi, Alessandra M ; Macrina, Andrea.
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  177. Reducing transaction costs with low-latency trading algorithms. (2016). Stoikov, Sasha ; Waeber, Rolf .
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  178. Optimal portfolio liquidation in target zone models and catalytic superprocesses. (2016). Schied, Alexander ; Neuman, Eyal.
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  179. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Alfonsi, Aurelien ; Blanc, Pierre.
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  180. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Blanc, Pierre ; Alfonsi, Aurelien.
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  181. Single asset optimal trading strategies with stochastic dominance constraints. (2016). Chandra, Suresh ; Bhardwaj, Avikant ; Khemchandani, Reshma.
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  182. Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy. (2016). Li, Yuying ; Coleman, Thomas ; Moazeni, Somayeh.
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  183. Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy. (2016). Li, Yuying ; Coleman, Thomas F ; Moazeni, Somayeh.
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  184. Aggressive and Defensive High‑Frequency Trading and its Impact on Liquidity of German Stock Market. (2016). Hruka, Juraj.
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  185. Smooth investment. (2016). Steffensen, Mogens ; Jensen, Ninna Reitzel ; Bruhn, Kenneth .
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  186. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making. (2016). Gueant, Olivier.
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  187. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Blanc, Pierre ; Alfonsi, Aurelien.
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  188. Optimal execution in high-frequency trading with Bayesian learning. (2016). Zhu, Hongliang ; Du, Bian ; Zhao, Jingdong.
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  189. Stock repurchases and liquidity. (2016). Hillert, Alexander ; Obernberger, Stefan ; Maug, Ernst.
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  190. Dynamic portfolio choice with frictions. (2016). Pedersen, Lasse ; Garleanu, Nicolae.
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  191. Multiperiod portfolio optimization with multiple risky assets and general transaction costs. (2016). Nogales, Francisco J ; Demiguel, Victor ; de Miguel, Victor ; Mei, Xiaoling.
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  192. Liquidation discount—a novel application of ARFIMA–GARCH. (2016). Chan, Felix ; Yang, Joey Wenling ; Gould, John ; Singh, Ranjodh B.
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  193. Bid-Ask Spreads in OTC Markets. (2016). Osler, Carol ; Kathitziotis, Neophytos ; Bjonnes, Geir .
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  194. Dealer Trading at the Fix. (2016). Osler, Carol .
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  195. LQG for portfolio optimization. (2016). Abeille, M ; Brokmann, X ; Lazaric, A ; Serie, E.
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  196. Static vs adapted optimal execution strategies in two benchmark trading models. (2016). Brigo, Damiano ; Piat, Clement .
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  197. Latency and liquidity provision in a limit order book. (2016). Bonart, Julius ; Gould, Martin .
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  198. Simultaneous Trading in Lit and Dark Pools. (2016). Crisafi, Alessandra M. ; Macrina, Andrea.
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  199. A dynamic optimal execution strategy under stochastic price recovery. (2015). Ieda, Masashi.
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  200. Dynamic predictor selection and order splitting in a limit order market. (2015). Yamamoto, Ryuichi.
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  201. Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki.
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  202. Sparse and Stable Portfolio Selection With Parameter Uncertainty. (2015). Li, Jiahan.
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  203. Financial Transaction Tax: Policy Analytics Based on Optimal Trading. (2015). Yu, Min-Teh ; Sun, Edward ; Kruse, Timm .
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  204. Adaptive Execution: Exploration and Learning of Price Impact. (2015). van Roy, Benjamin ; Park, Beomsoo .
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  205. Worst-Case Approach To Strategic Optimal Portfolio Selection Under Transaction Costs And Trading Limits. (2015). Andreev, Nikolay.
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  206. Optimal liquidity provision. (2015). Kuhn, Christoph ; Muhle-Karbe, Johannes.
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  207. The viability of alternative indexation when including all costs. (2015). Sojka, Jeremy ; Lajbcygier, Paul.
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  208. Optimal order display in limit order markets with liquidity competition. (2015). Horst, Ulrich ; Cebirolu, Gokhan .
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  209. Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki.
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  210. Regularity properties in a state-constrained expected utility maximization problem. (2015). Lazgham, Mourad .
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  211. Volume Weighted Average Price Optimal Execution. (2015). Busseti, Enzo ; Boyd, Stephen .
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  212. Optimum Liquidation Problem Associated with the Poisson Cluster Process. (2015). Sadoghi, A ; Vecer, J.
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  213. Extension and calibration of a Hawkes-based optimal execution model. (2015). Alfonsi, Aur'elien ; Blanc, Pierre .
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  214. Hedging, arbitrage and optimality with superlinear frictions. (2015). Guasoni, Paolo ; Mikl'os R'asonyi, .
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  215. Optimal Portfolio Liquidation in Target Zone Models and Catalytic Superprocesses. (2015). Schied, Alexander ; Neuman, Eyal.
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  216. Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki.
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  217. A dynamic optimal execution strategy under stochastic price recovery. (2015). Ieda, Masashi.
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  218. Information and Trading Targets in a Dynamic Market Equilibrium. (2015). Seppi, Duane J. ; Larsen, Kasper ; Choi, Jin Hyuk.
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  219. Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context. (2015). Li, Qinghua.
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  220. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2015). Alfonsi, Aur'elien ; Blanc, Pierre .
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  221. Trading with Small Price Impact. (2015). Muhle-Karbe, Johannes ; Soner, Mete H. ; Moreau, Ludovic .
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  222. A state-constrained differential game arising in optimal portfolio liquidation. (2015). Schied, Alexander ; Zhang, Tao.
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  223. Multivariate transient price impact and matrix-valued positive definite functions. (2015). Schied, Alexander ; Klock, Florian ; Alfonsi, Aur'elien .
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  224. Optimal Liquidity Provision. (2015). Kuhn, Christoph ; Muhle-Karbe, Johannes.
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  225. Mathematical Formulation of an Optimal Execution Problem with Uncertain Market Impact. (2015). Ishitani, Kensuke ; Kato, Takashi.
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  226. Optimal liquidation in dark pools. (2014). Schöneborn, Torsten ; Kratz, Peter ; Schoneborn, Torsten .
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  227. An optimal execution problem with market impact. (2014). Kato, Takashi.
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  228. High frequency trading, liquidity, and execution cost. (2014). Yu, Min-Teh ; Sun, Edward ; Kruse, Timm .
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  229. Hedging Market Risk in Optimal Liquidation. (2014). Monin, Phillip.
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  230. Liquidity and the Value at Risk. (2014). Grossmass, Lidan ; Groma, Lidan .
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  231. Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact. (2014). Chen, Jingnan ; Ye, Yinyu ; Peng, Jiming ; Feng, Liming ; Mingfeng, LI.
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  232. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Alfonsi, Aurelien ; Blanc, Pierre .
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  233. Optimal execution and price manipulations in time-varying limit order books. (2014). Alfonsi, Aurelien ; Acevedo, Jose Infante .
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  234. Liquidating illiquid collateral. (2014). Oehmke, Martin.
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  235. Liquidating illiquid collateral. (2014). Oehmke, Martin.
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  236. An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange. (2014). Yamamoto, Ryuichi.
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  237. Market impacts of trades for stocks listed on the Borsa Istanbul. (2014). Kryzanowski, Lawrence ; Aktas, Osman Ulas .
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  238. Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data. (2014). Chokri, Mamoghli ; Emnal, Rouetbi .
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  239. Optimal execution with nonlinear transient market impact. (2014). Lillo, Fabrizio ; Gatheral, Jim ; Curato, Gianbiagio .
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  240. High-Resilience Limits of Block-Shaped Order Books. (2014). Kallsen, Jan ; Muhle-Karbe, Johannes.
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  241. A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution. (2014). Wilcox, Diane ; Hendricks, Dieter.
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  242. Optimal execution and block trade pricing: a general framework. (2014). Olivier Gu'eant, .
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  243. Optimal order placement in limit order markets. (2014). Kukanov, Arseniy ; Cont, Rama.
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  244. Price manipulation in a market impact model with dark pool. (2014). Schied, Alexander ; Sun, Yuemeng ; Klock, Florian.
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  245. An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process. (2014). Kato, Takashi.
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  246. The Microstructure of Trading Processes on the Singapore Exchange. (2013). Murphy Jun Jie Lee, .
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  247. The Microstructure of Trading Processes on the Singapore Exchange. (2013). Jie, Murphy Jun.
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  248. Competition between stock exchanges and optimal trading. (2013). van Kervel, Vincent.
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  249. Optimal trade execution under price-sensitive risk preferences. (2013). Ankirchner, Stefan ; Kruse, Thomas .
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  250. How efficiency shapes market impact. (2013). Farmer, J. ; Gerig, Austin ; Waelbroeck, Henri ; Lillo, Fabrizio.
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  251. Limit order books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark .
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  252. Drift dependence of optimal trade execution strategies under transient price impact. (2013). Lorenz, Christopher ; Schied, Alexander.
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  253. The market microstructure approach to foreign exchange: Looking back and looking forward. (2013). Rime, Dagfinn ; King, Michael ; Osler, Carol L..
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  254. Undisclosed orders and optimal submission strategies in a limit order market. (2013). Rindi, Barbara ; Buti, Sabrina .
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  255. Individual investors and financial disclosure. (2013). Lawrence, Alastair .
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  256. Optimal trading strategy and supply/demand dynamics. (2013). Obizhaeva, Anna ; Wang, Jiang.
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  257. Market Liquidity—Theory and Empirical Evidence *. (2013). Vayanos, Dimitri ; Wang, Jiang.
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  258. The market microstructure approach to foreign exchange - Looking back and looking forward. (2013). Rime, Dagfinn ; King, Michael ; Osler, Carol .
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  259. A Monte Carlo method for optimal portfolio executions. (2013). Nuyens, Dirk ; Achtsis, Nico .
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  260. A Pre-Trade Algorithmic Trading Model under Given Volume Measures and Generic Price Dynamics (GVM-GPD). (2013). Shen, Jackie.
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  261. Realtime market microstructure analysis: online Transaction Cost Analysis. (2013). LEHALLE, Charles-Albert ; Beri, Arjun ; Gadhyan, Yutheeka ; Azencott, Robert ; Joseph, Nicolas ; Rowley, Matthew .
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  262. Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall. (2013). LEHALLE, Charles-Albert ; Labadie, Mauricio .
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  263. General Intensity Shapes in Optimal Liquidation. (2013). LEHALLE, Charles-Albert ; Olivier Gu'eant, .
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  264. Stochastic impulse control on optimal execution with price impact and transaction cost. (2013). Junca, Mauricio .
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  265. Limit Order Books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark .
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  266. Reduced form modeling of limit order markets. (2012). Malo, Pekka ; Pennanen, Teemu.
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  267. Market Liquidity -- Theory and Empirical Evidence. (2012). Vayanos, Dimitri ; Wang, Jiang.
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  268. Optimal starting times, stopping times and risk measures for algorithmic trading. (2012). LEHALLE, Charles-Albert ; Labadie, Mauricio .
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  269. Optimal execution and price manipulations in time-varying limit order books. (2012). Alfonsi, Aurelien ; Acevedo, Jose Infante .
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  270. A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets. (2012). Pintos, Jose-Ramon ; Company, Rafael ; Jodar, Lucas.
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  271. Modelling and forecasting liquidity supply using semiparametric factor dynamics. (2012). Mihoci, Andrija ; Härdle, Wolfgang ; Hautsch, Nikolaus ; Hardle, Wolfgang Karl.
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  272. Markets liquidity risk under extremal dependence: Analysis with VaRs methods. (2012). Ourir, Awatef ; Snoussi, Wafa .
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  273. Optimal trade execution: A mean quadratic variation approach. (2012). Windcliff, H. ; Tse, S. T. ; Forsyth, P. A. ; Kennedy, J. S..
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  274. Adaptive Execution: Exploration and Learning of Price Impact. (2012). van Roy, Benjamin ; Park, Beomsoo .
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  275. Calibration of optimal execution of financial transactions in the presence of transient market impact. (2012). Busseti, Enzo ; Lillo, Fabrizio.
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  276. Optimal execution and price manipulations in time-varying limit order books. (2012). Alfonsi, Aur'elien ; Jos'e Infante Acevedo, .
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  277. Portfolio liquidation in dark pools in continuous time. (2012). Kratz, Peter ; Schoneborn, Torsten .
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  278. Optimal Portfolio Liquidation with Limit Orders. (2012). LEHALLE, Charles-Albert ; Olivier Gu'eant, ; Tapia, Joaquin Fernandez .
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  279. Dealing with the Inventory Risk. A solution to the market making problem. (2012). LEHALLE, Charles-Albert ; Olivier Gu'eant, ; Tapia, Joaquin Fernandez .
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  280. Dynamic trade execution: a grammatical evolution approach. (2011). Brabazon, Anthony ; Cui, Wei ; O'Neill, Michael .
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  281. The slippage paradox. (2011). Bohn, Steffen .
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  282. Extreme returns: The case of currencies. (2011). Savaser, Tanseli ; Osler, Carol .
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  283. Optimal Portfolio Liquidation with Limit Orders. (2011). Lehalle, Charles-Albert ; Gueant, Olivier ; Tapia, Joaquin Fernandez .
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  284. Dealing with the Inventory Risk. (2011). Lehalle, Charles-Albert ; Gueant, Olivier ; Tapia, Joaquin Fernandez .
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  285. A limit order book model for latency arbitrage. (2011). Szpruch, Lukasz ; Cohen, Samuel N..
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  286. Optimal trade execution and price manipulation in order books with time-varying liquidity. (2011). Schöneborn, Torsten ; Fruth, Antje ; Schoeneborn, Torsten ; Urusov, Mikhail .
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  287. The slippage paradox. (2011). Bohn, Steffen .
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  288. The Price Impact of Order Book Events. (2011). Kukanov, Arseniy ; Stoikov, Sasha ; Cont, Rama.
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  289. Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje .
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  290. Optimal Execution in a Market with Small Investors. (2010). Ishii, Ryosuke .
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  291. Non-parametric liquidity-adjusted VaR model: a stochastic programming approach. (2010). Fragniere, Emmanuel ; Zhang, Qun ; Tuchschmid, Nils ; Gondzio, Jacek.
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  292. Portfolio Risk Analysis. (2010). Connor, Gregory ; Korajczyk, Robert A ; Goldberg, Lisa R.
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  293. Optimal Portfolio Liquidation with Distress Risk. (2010). Carlin, Bruce Ian ; Lobo, Miguel Sousa ; Brown, David B..
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  294. Optimal trade execution and absence of price manipulations in limit order book models. (2010). Schied, Alexander ; Alfonsi, Aurelien.
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  295. Strategic trading in the wrong direction by a large institutional insider. (2010). Giambona, Erasmo ; Golec, Joseph.
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  296. Portfolio choice under transitory price impact. (2010). Isaenko, Sergei.
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