Optimal execution with regime-switching market resilience-Reference-Cited by-同舟云学术

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Optimal execution with regime-switching market resilience

Published:2019-04 Issue: Volume:101 Page:17-40
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Siu Chi Chung,Guo Ivan,Zhu Song-Ping,Elliott Robert J.

Funder

Australian Research Council

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference34 articles.

1. Limit orders, depth, and volatility: evidence from the stock exchange of hong kong;Ahn;J. Financ.,2001

2. Optimal execution strategies in limit order books with general shape;Alfonsi;Quant. Financ.,2010

3. Optimal trading with stochastic liquidity and volatility;Almgren;SIAM J. Financ. Math.,2012

4. Optimal execution of portfolio transactions;Almgren;J. Risk,2000

5. High-frequency trading in a limit order book;Avellaneda;Quant. Financ.,2008

Cited by 11 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems;Finance and Stochastics;2024-06-25

2. Optimal trade execution in cryptocurrency markets;Digital Finance;2024-01-24

3. Dynamic trading with Markov liquidity switching;Automatica;2023-09

4. Portfolio liquidation with delayed information;Economic Modelling;2023-09

5. Optimal intertemporal liquidation of institutional investors with cash requirements and viable loans;The European Journal of Finance;2023-07-05

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