Alla Slynko

Technische Universität München (TUM)

Arcisstrasse 21

Munich, DE 80333

Germany

  • Technische Universität München (TUM)

SCHOLARLY PAPERS

4

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37

Scholarly Papers (4)

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1.

Transient Linear Price Impact and Fredholm Integral Equations

Mathematical Finance, Forthcoming
Number of pages: 30 Posted: 05 Jan 2010 Last Revised: 03 May 2011
Jim Gatheral, Alexander Schied and Alla Slynko
CUNY Baruch College, University of Waterloo and Technische Universität München (TUM)
Downloads 2,387 (13,369)
Citation 15

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Transient price impact, market impact model, optimal order execution, price manipulation, transaction-triggered price manipulation, Fredholm integral equation

2.

Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem

SIAM Journal on Financial Mathematics, Forthcoming
Number of pages: 24 Posted: 04 Nov 2009 Last Revised: 02 Apr 2012
Aurélien Alfonsi, Alexander Schied and Alla Slynko
Université Paris Est - CERMICS, University of Waterloo and Technische Universität München (TUM)
Downloads 1,710 (22,671)
Citation 21

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Transient price impact, market impact model, optimal order execution, price manipulation, transaction-triggered price manipulation, Bochner form, positive definite function, no short sales in Markowitz portfolio

3.

Exponential Resilience and Decay of Market Impact

ECONOPHYSICS OF ORDER-DRIVEN MARKET, F. Abergel, B.K. Chakrabarti, A. Chakraborti, M. Mitra, eds., pp. 225-236, Springer, 2011
Number of pages: 12 Posted: 01 Aug 2010 Last Revised: 13 Feb 2011
Jim Gatheral, Alexander Schied and Alla Slynko
CUNY Baruch College, University of Waterloo and Technische Universität München (TUM)
Downloads 1,200 (38,470)

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Order books, price manipulation, exponential resilience

4.

Some Mathematical Aspects of Market Impact Modeling

Number of pages: 23 Posted: 07 Jan 2011 Last Revised: 27 Jun 2011
Alexander Schied and Alla Slynko
University of Waterloo and Technische Universität München (TUM)
Downloads 709 (79,459)
Citation 1

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Market Impact Model, Optimal Order Execution, Hamilton-Jacobi-Bellman Equation, Finite-Fuel Control, Transient Price Impact, Price Manipulation, Transaction-Triggered Price Manipulation, Fredholm Integral Equation, Potential Theory, Capacitary Distribution