Optimal Pair–Trade Execution with Generalized Cross–Impact
Author:
Funder
Japan Society for the Promotion of Science
Publisher
Springer Science and Business Media LLC
Subject
Finance
Link
https://link.springer.com/content/pdf/10.1007/s10690-021-09349-1.pdf
Reference43 articles.
1. Alfonsi, A., Klöck, F., & Schied, A. (2016). Multivariate transient price impact and matrix-valued positive definite functions. Mathematics of Operations Research, 41(3), 914–934.
2. Almgren, R., & Chriss, N. (2001). Optimal execution of portfolio transactions. Journal of Risk, 3, 5–40.
3. Benzaquen, M., Mastromatteo, I., Eisler, Z., & Bouchaud, J. P. (2017). Dissecting cross-impact on stock markets: An empirical analysis. Journal of Statistical Mechanics: Theory and Experiment, 2017(2), 023406.
4. Bertsimas, D., & Lo, A. W. (1998). Optimal control of execution costs. Journal of Financial Markets, 1(1), 1–50.
5. Bouchard, B., Fukasawa, M., Herdegen, M., & Muhle-Karbe, J. (2018). Equilibrium returns with transaction costs. Finance and Stochastics, 22(3), 569–601.
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1. Trade Execution Games in a Markovian Environment;SSRN Electronic Journal;2024
2. Introduction to Optimal Execution;Intelligent Systems Reference Library;2024
3. A discrete-time optimal execution problem with market prices subject to random environments;TOP;2023-01-29
4. Optimal Pair–Trade Execution with Generalized Cross–Impact;Asia-Pacific Financial Markets;2021-09-03
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