1. Optimal trade execution and absence of price manipulations in limit order book models;A Alfonsi;SIAM Journal on Financial Mathematics,2010
2. Capacitary measures for completely monotone kernels via singular control;A Alfonsi;SIAM Journal on Control and Optimization,2013
3. Average trading cost C in basis points for the trading strategy described in Section 6, as a function of the bias parameter ?, for different participation rates of ? = 1%, 5%, 10%. Consistently with Eq. (12), one can clearly see that directional trading strategies are more expensive in terms of notional traded;Figure
4. Order book resilience, price manipulation, and the positive portfolio problem;A Alfonsi;SIAM Journal on Financial Mathematics,2012
5. Multivariate transient price impact and matrix-valued positive definite functions;A Alfonsi;Mathematics of Operations Research,2016