Optimal execution strategies in limit order books with general shape functions-Reference-Cited by-同舟云学术

Optimal execution strategies in limit order books with general shape functions

Published:2009-06-25 Issue:2 Volume:10 Page:143-157
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Alfonsi Aurélien¹,Fruth Antje²,Schied Alexander³

Affiliation:

1. a CERMICS, projet MATHFI , Ecole Nationale des Ponts et Chaussées , 6-8 avenue Blaise Pascal, Cité Descartes, Champs sur Marne, 77455 Marne-la-vallée , France

2. b Quantitative Products Laboratory , Alexanderstr. 5, 10178 Berlin , Germany

3. c Zentrum Mathematik, TU Munich , Boltzmannstr.3, 85748, Garching , Germany

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697680802595700

Reference20 articles.

1. Constrained portfolio liquidation in a limit order book model

2. Optimal execution with nonlinear impact functions and trading-enhanced risk

3. Optimal execution of portfolio transactions

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