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Optimal Trading Strategy and Supply/Demand Dynamics. (2005). Obizhaeva, Anna ; Wang, Jiang.
In: NBER Working Papers.
RePEc:nbr:nberwo:11444.

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Cited: 36

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Cites: 70

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  1. OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT. (2019). Lorig, Matthew ; Barger, Weston.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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  2. Conservation Laws in a Limit Order Book. (2019). Rosenzweig, Jan.
    In: Papers.
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  3. Optimal liquidation under stochastic price impact. (2018). Lorig, Matthew ; Barger, Weston.
    In: Papers.
    RePEc:arx:papers:1804.04170.

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  4. OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS. (2017). Agliardi, Rossella ; Genay, Ramazan.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500054.

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  5. The microstructure of high frequency markets. (2017). Webster, Kevin ; Carmona, Rene.
    In: Papers.
    RePEc:arx:papers:1709.02015.

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  6. Reducing transaction costs with low-latency trading algorithms. (2016). Stoikov, Sasha ; Waeber, Rolf .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:16:y:2016:i:9:p:1445-1451.

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  7. Patience vs. impatience of traders: Formation of the value-at-price distribution through competition for liquidity. (2015). Lerner, Peter .
    In: International Journal of Financial Engineering (IJFE).
    RePEc:wsi:ijfexx:v:02:y:2015:i:03:n:s2424786315500292.

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  8. Dynamic predictor selection and order splitting in a limit order market. (2015). Yamamoto, Ryuichi.
    In: Working Papers.
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  9. Trading Fees and Slow-Moving Capital. (2015). Buss, Adrian ; Dumas, Bernard J.
    In: CEPR Discussion Papers.
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  10. A convex duality method for optimal liquidation with participation constraints. (2014). Lasry, Jean-Michel ; Olivier Gu'eant, ; Pu, Jiang.
    In: Papers.
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  11. Permanent market impact can be nonlinear. (2014). Olivier Gu'eant, .
    In: Papers.
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  12. Optimal execution and block trade pricing: a general framework. (2014). Olivier Gu'eant, .
    In: Papers.
    RePEc:arx:papers:1210.6372.

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  13. Optimal order placement in limit order markets. (2014). Kukanov, Arseniy ; Cont, Rama.
    In: Papers.
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  14. Competition between stock exchanges and optimal trading. (2013). van Kervel, Vincent.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:5c608a0f-527d-441d-a910-ef01ce6183f8.

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  15. The Dynamic Properties of Financial-Market Equilibrium with Trading Fees. (2013). Buss, Adrian ; Dumas, Bernard.
    In: NBER Working Papers.
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  16. Capacitary measures for completely monotone kernels via singular control. (2013). Schied, Alexander ; Alfonsi, Aurelien.
    In: Post-Print.
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  17. The Self-Financing Equation in High Frequency Markets. (2013). Webster, Kevin ; Carmona, Rene.
    In: Papers.
    RePEc:arx:papers:1312.2302.

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  18. Optimal Order Scheduling for Deterministic Liquidity Patterns. (2013). Fruth, Antje ; Bank, Peter.
    In: Papers.
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  19. Execution and block trade pricing with optimal constant rate of participation. (2013). Olivier Gu'eant, .
    In: Papers.
    RePEc:arx:papers:1210.7608.

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  20. General Intensity Shapes in Optimal Liquidation. (2013). LEHALLE, Charles-Albert ; Olivier Gu'eant, .
    In: Papers.
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  21. Hedging through a Limit Order Book with Varying Liquidity. (2012). Gencay, Ramazan ; Genay, Ramazan ; Agliardi, Rossella.
    In: Working Paper series.
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  22. Optimal order placement in limit order markets. (2012). Kukanov, Arseniy ; Cont, Rama.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00737491.

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  23. Modelling and forecasting liquidity supply using semiparametric factor dynamics. (2012). Mihoci, Andrija ; Härdle, Wolfgang ; Hautsch, Nikolaus ; Hardle, Wolfgang Karl.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:4:p:610-625.

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  24. Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity. (2012). Iori, Giulia ; Kovaleva, P..
    In: Working Papers.
    RePEc:cty:dpaper:12/05.

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  25. High Frequency Market Making. (2012). Webster, Kevin ; Carmona, Rene.
    In: Papers.
    RePEc:arx:papers:1210.5781.

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  26. On derivatives with illiquid underlying and market manipulation. (2011). Horst, Ulrich ; Naujokat, Felix .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2011:i:7:p:1051-1066.

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  27. Dynamic trade execution: a grammatical evolution approach. (2011). Brabazon, Anthony ; Cui, Wei ; O'Neill, Michael .
    In: International Journal of Financial Markets and Derivatives.
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  28. Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157.

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  29. Optimal Execution in a Market with Small Investors. (2010). Ishii, Ryosuke .
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:17:y:2010:i:5:p:431-451.

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  30. Optimal trade execution and absence of price manipulations in limit order book models. (2010). Schied, Alexander ; Alfonsi, Aurelien.
    In: Post-Print.
    RePEc:hal:journl:hal-00397652.

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  31. Optimal Execution in an Evolutionary Setting. (2009). Ishii, Ryosuke .
    In: KIER Working Papers.
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  32. Optimal execution of Portfolio transactions with geometric price process. (2009). Pacheco-Gonzalez, Carlos ; Gerardo Hernandez-del-Valle, .
    In: Papers.
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  33. Does algorithmic trading improve liquidity?. (2008). Menkveld, Albert ; Hendershott, Terrence ; Jones, Charles M..
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200841.

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  34. Measuring the resiliency of an electronic limit order book. (2007). Large, Jeremy.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:10:y:2007:i:1:p:1-25.

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