GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION-Reference-Cited by-同舟云学术

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GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION

Published:2013-10-09 Issue:3 Volume:25 Page:457-495
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Guéant Olivier¹,Lehalle Charles-Albert²

Affiliation:

1. UFR de Mathématiques, Laboratoire Jacques-Louis Lions; Université Paris-Diderot

2. Capital Fund Management

Funder

Europlace Institute of Finance

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12052/fullpdf

Reference40 articles.

1. Constrained Portfolio Liquidation in a Limit Order Book Model;Alfonsi;Banach Center Publ.,2008

2. Optimal Execution Strategies in Limit Order Books with General Shape Functions;Alfonsi;Quant. Finance,2010

3. Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models;Alfonsi;SIAM J. Financ. Math.,2010

4. Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem;Alfonsi;SIAM J. Financ. Math.,2012

5. Almgren , R. 2009 Optimal Trading in a Dynamic Market

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3. Optimal Order Execution Using After-Hour Fixed-Price Trading;SSRN Electronic Journal;2023

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