OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
Author:
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2010.00446.x/fullpdf
Reference17 articles.
1. Optimal Execution Strategies in Limit Order Books with General Shape Functions;Alfonsi;Quant. Finance,2010
2. Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk;Almgren;Appl. Math. Finance,2003
3. Bayesian Adaptive Trading with a Daily Cycle;Almgren;J. Trading,2006
4. Bayraktar , E. M. Ludkovski 2009a Optimal Trade Execution in Illiquid Markets. Technical report, University of Michigan and University of California at Santa Barbara http://arxiv.org/abs/0902.2516
5. Sequential Tracking of a Hidden Markov Chain Using Point Process Observations;Bayraktar;Stoch. Process. Appl.,2009b
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