Optimal execution with price impact under Cumulative Prospect Theory-Reference-Cited by-同舟云学术

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Optimal execution with price impact under Cumulative Prospect Theory

Published:2018-01 Issue: Volume:490 Page:1228-1237
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Zhao Jingdong,Zhu Hongliang,Li Xindan

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference34 articles.

1. Optimal execution strategies in limit order books with general shape functions;Alfonsi;Quant. Finance,2007

2. An analysis of price impact function in order-driven markets;Iori;Physica A,2003

3. Master curve for price-impact function;Lillo;Nature,2003

4. Continuous auctions and insider trading;Kyle;Econometrica,1985

5. Optimal control of execution costs for portfolios;Bertsimas;Comput. Sci. Eng.,1999

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1. Exploring a multi-objective cluster-decomposition framework for optimizing flood control operation rules of cascade reservoirs in a river basin;Journal of Hydrology;2022-11

2. A three-way decision model based on cumulative prospect theory;Information Sciences;2020-05

3. Optimal Allocation Model of Water Resources Based on the Prospect Theory;Water;2019-06-20

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