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Incorporating Signals into Optimal Trading. (2018). LEHALLE, Charles-Albert ; Neuman, Eyal.
In: Papers.
RePEc:arx:papers:1704.00847.

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Cited: 3

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Cites: 34

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Cocites: 36

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Coauthors: 0

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Citations

Citations received by this document

  1. Static vs Adaptive Strategies for Optimal Execution with Signals. (2019). Brigo, Damiano ; Neuman, Eyal ; Done, Alex ; Bellani, Claudio.
    In: Papers.
    RePEc:arx:papers:1811.11265.

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  2. Optimal liquidation under stochastic liquidity. (2018). Frentrup, Peter ; Bilarev, Todor ; Becherer, Dirk.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0346-2.

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  3. Instantaneous order impact and high-frequency strategy optimization in limit order books. (2017). Schervish, Mark ; Gonzalez, Federico.
    In: Papers.
    RePEc:arx:papers:1707.01167.

    Full description at Econpapers || Download paper

References

References cited by this document

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  3. Optimal execution with stochastic delay. (2023). Sanchez-Betancourt, Leandro ; Cartea, Alvaro.
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  5. Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Zhao, Long ; Webster, Kevin ; Nutz, Marcel.
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  7. Tackling the Problem of State Dependent Execution Probability: Empirical Evidence and Order Placement. (2023). Ragel, Vincent ; Fabre, Timoth'Ee.
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  8. Optimal Portfolio Execution in a Regime-switching Market with Non-linear Impact Costs: Combining Dynamic Program and Neural Network. (2023). Mulvey, John M ; Li, Xiaoyue.
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    In: Papers.
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