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Optimal execution with limit and market orders. (2015). Cartea, Álvaro ; Jaimungal, Sebastian.
In: Quantitative Finance.
RePEc:taf:quantf:v:15:y:2015:i:8:p:1279-1291.

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  1. Deep Limit Order Book Forecasting. (2024). Aste, Tomaso ; Bartolucci, Silvia ; Briola, Antonio.
    In: Papers.
    RePEc:arx:papers:2403.09267.

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  2. Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach. (2023). Roch, Alexandre.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-09996-z.

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  3. Optimal execution with stochastic delay. (2023). Sanchez-Betancourt, Leandro ; Cartea, Alvaro.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00491-w.

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  4. A Leland model for delta hedging in central risk books. (2023). Webster, Kevin ; Wang, Zexin ; Muhlekarbe, Johannes.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:33:y:2023:i:3:p:504-547.

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  5. Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Zhao, Long ; Webster, Kevin ; Nutz, Marcel.
    In: Papers.
    RePEc:arx:papers:2310.14144.

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  6. Approximately optimal trade execution strategies under fast mean-reversion. (2023). Thamsten, Yuri ; Evangelista, David.
    In: Papers.
    RePEc:arx:papers:2307.07024.

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  7. Tackling the Problem of State Dependent Execution Probability: Empirical Evidence and Order Placement. (2023). Ragel, Vincent ; Fabre, Timoth'Ee.
    In: Papers.
    RePEc:arx:papers:2307.04863.

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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.
    In: Papers.
    RePEc:arx:papers:2306.08809.

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  9. A time-dependent Markovian model of a limit order book. (2023). Ch, Jonathan A.
    In: Papers.
    RePEc:arx:papers:2302.00846.

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  10. Deep reinforcement learning for the optimal placement of cryptocurrency limit orders. (2022). Schnaubelt, Matthias.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:296:y:2022:i:3:p:993-1006.

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  11. Extensions of the deep Galerkin method. (2022). Saporito, Yuri ; de Freitas, Danilo ; Jardim, Gabriel ; Correia, Adolfo ; Al-Aradi, Ali.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:430:y:2022:i:c:s0096300322003617.

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  12. Dynamic Inventory Management with Mean-Field Competition. (2022). Li, ZI ; Donnelly, Ryan.
    In: Papers.
    RePEc:arx:papers:2210.17208.

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  13. Model-based gym environments for limit order book trading. (2022). Herdegen, Martin ; Savani, Rahul ; Sanchez-Betancourt, Leandro ; Jerome, Joseph.
    In: Papers.
    RePEc:arx:papers:2209.07823.

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  14. Optimal bookmaking. (2021). Zou, Bin ; Zhou, Zhou ; Lorig, Matthew.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:295:y:2021:i:2:p:560-574.

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  15. Universal Trading for Order Execution with Oracle Policy Distillation. (2021). Yu, Yong ; Bian, Jiang ; Zhang, Weinan ; Zhou, Dong ; Liu, Weiqing ; Ren, Kan ; Fang, Yuchen.
    In: Papers.
    RePEc:arx:papers:2103.10860.

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  16. Liquidity Stress Testing using Optimal Portfolio Liquidation. (2021). Baldacci, Bastien ; Manziuk, Iuliia ; Weber, Mike.
    In: Papers.
    RePEc:arx:papers:2102.02877.

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  17. On regularized optimal execution problems and their singular limits. (2021). Thamsten, Yuri ; Souza, Max O.
    In: Papers.
    RePEc:arx:papers:2101.02731.

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  18. Deep reinforcement learning for the optimal placement of cryptocurrency limit orders. (2020). Schnaubelt, Matthias.
    In: FAU Discussion Papers in Economics.
    RePEc:zbw:iwqwdp:052020.

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  19. A note on Almgren-Chriss optimal execution problem with geometric Brownian motion. (2020). Benveniste, Jerome ; Baldacci, Bastien.
    In: Papers.
    RePEc:arx:papers:2006.11426.

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  20. HEDGE-FUND MANAGEMENT WITH LIQUIDITY CONSTRAINT. (2019). Howell, Sydney ; Johnson, Paul V ; Duck, Peter ; Ramirez, Hugo E.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:22:y:2019:i:06:n:s0219024919500262.

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  21. Incorporating signals into optimal trading. (2019). Neuman, Eyal ; Lehalle, Charles-Albert.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:23:y:2019:i:2:d:10.1007_s00780-019-00382-7.

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  22. A MEAN FIELD GAME OF PORTFOLIO TRADING AND ITS CONSEQUENCES ON PERCEIVED CORRELATIONS. (2019). Mouzouni, Charafeddine ; Lehalle, Charles-Albert.
    In: Working Papers.
    RePEc:hal:wpaper:hal-02003143.

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  23. Applications of the Deep Galerkin Method to Solving Partial Integro-Differential and Hamilton-Jacobi-Bellman Equations. (2019). Saporito, Yuri ; Jardim, Gabriel ; de Frietas, Danilo ; Correia, Adolfo ; Al-Aradi, Ali.
    In: Papers.
    RePEc:arx:papers:1912.01455.

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  24. Optimal Bookmaking. (2019). Zou, Bin ; Zhou, Zhou ; Lorig, Matthew.
    In: Papers.
    RePEc:arx:papers:1907.01056.

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  25. Optimal execution with rough path signatures. (2019). Arribas, Imanol Perez ; Lyons, Terry ; Kalsi, Jasdeep.
    In: Papers.
    RePEc:arx:papers:1905.00728.

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  26. A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations. (2019). Mouzouni, Charafeddine ; Lehalle, Charles-Albert.
    In: Papers.
    RePEc:arx:papers:1902.09606.

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  27. Optimal order execution using hidden orders. (2018). Chen, Yuanyuan ; Li, Duan ; Gao, Xuefeng.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:94:y:2018:i:c:p:89-116.

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  28. Solving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning. (2018). Saporito, Yuri ; Jardim, Gabriel ; Naiff, Danilo ; Correia, Adolfo ; Al-Aradi, Ali.
    In: Papers.
    RePEc:arx:papers:1811.08782.

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  29. Trading Cointegrated Assets with Price Impact. (2018). Jaimungal, Sebastian ; Gan, Luhui ; Cartea, Alvaro.
    In: Papers.
    RePEc:arx:papers:1807.01428.

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  30. Trading algorithms with learning in latent alpha models. (2018). Jaimungal, Sebastian ; Casgrain, Philippe.
    In: Papers.
    RePEc:arx:papers:1806.04472.

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

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  32. Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty. (2017). Leung, Tim ; Ward, Brian ; Concha, Julio ; Bulthuis, Brian.
    In: International Journal of Financial Engineering (IJFE).
    RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500207.

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

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  34. Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty. (2017). Leung, Tim ; Bulthuis, Brian ; Ward, Brian ; Concha, Julio.
    In: Papers.
    RePEc:arx:papers:1604.04963.

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  35. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making. (2016). Gueant, Olivier.
    In: Post-Print.
    RePEc:hal:journl:hal-01393136.

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