Alla Slynko

Technische Universität München (TUM)

Arcisstrasse 21

Munich, 80333

Germany

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

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 1,497 (11,230)
Citation 1

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

Transient Linear Price Impact and Fredholm Integral Equations

Mathematical Finance, Vol. 22, Issue 3, pp. 445-474, 2012
Number of pages: 30 Posted: 08 Jun 2012
Jim Gatheral, Alexander Schied and Alla Slynko
CUNY Baruch College, University of Waterloo and Technische Universität München (TUM)
Downloads 1 (675,558)
Citation 31
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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
Université Paris Est - CERMICS, University of Waterloo and Technische Universität München (TUM)
Downloads 1,105 (18,373)
Citation 39

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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 784 (30,178)
Citation 8

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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 514 (52,774)
Citation 4

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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