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Gianbiagio Curato

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

  • Scuola Normale Superiore

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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1.

Optimal Execution with Nonlinear Transient Market Impact

Quantitative Finance, Vol. 17, No. 1, 41-54, 2017
Number of pages: 29 Posted: 17 Dec 2014 Last Revised: 25 Feb 2017
Gianbiagio Curato, Jim Gatheral and Fabrizio Lillo
Scuola Normale Superiore, CUNY Baruch College and Scuola Normale Superiore
Downloads 1,182 (44,629)
Citation 2

Abstract:

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Transient price impact, market impact model, optimal order execution, transaction‐triggered price manipulation, homotopy analysis, SQP algorithm, GSS algorithm

2.

Discrete Homotopy Analysis for Optimal Trading Execution with Nonlinear Transient Market Impact

Communications in Nonlinear Science and Numerical Simulation, 39:332-342, 2016.
Number of pages: 21 Posted: 19 Mar 2016 Last Revised: 25 Apr 2016
Gianbiagio Curato, Jim Gatheral and Fabrizio Lillo
Scuola Normale Superiore, CUNY Baruch College and Scuola Normale Superiore
Downloads 356 (210,353)

Abstract:

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Optimal execution, Market impact, Homotopy analysis method, Nonlinear integral equations