Optimal order execution under price impact: a hybrid model
Author:
Funder
National Science Foundation of China
PSC-CUNY52 Award
MIUR - PRIN Bando 2017
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
https://link.springer.com/content/pdf/10.1007/s10479-022-05082-8.pdf
Reference23 articles.
1. Almgren, R., & Chriss, N. (2000). Optimal execution of portfolio transactions. Journal of Risk, 3(2), 5–39.
2. Amihud, Y., & Mendelson, H. (1980). Dealership market: Market-making with inventory. Journal of Financial Economics, 8(1), 31–53.
3. Andersen, T. G., & Bollerslev, T. (1997). Heterogeneous information arrivals and return volatility dynamics: Uncovering the long-run in high frequency returns. The Journal of Finance, 52(3), 975–1005.
4. Avellaneda, M., & Stoikov, S. (2008). High-frequency trading in a limit order book. Quantitative Finance, 8(3), 217–224.
5. Bacry, E., Iuga, A., Lasnier, M., & Lehalle, C.-A. (2015). Market impacts and the life cycle of investors orders. Market Microstructure and Liquidity, 1(02), 1550009.
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