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Robert Elliott

University of South Australia - School of Commerce

37-44 North Terrace

Adelaide SA 5000, South Australia 5001

Australia

  • University of South Australia - School of Commerce

SCHOLARLY PAPERS

2

DOWNLOADS

324

TOTAL CITATIONS

4

Scholarly Papers (2)

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1.

Optimal Portfolio Execution Problem With Stochastic Price Impact

Automatica, Forthcoming
Number of pages: 14 Posted: 30 Nov 2019
Guiyuan Ma, Chi Chung Siu, Song-Ping Zhu and Robert Elliott
Xi'an Jiaotong University (XJTU) - School of Economics and Finance, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong, University of Wollongong and University of South Australia - School of Commerce
Downloads 164 (456,852)
Citation 2

Abstract:

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Stochastic optimal control; Application in finance; Optimal portfolio execution problem; Regime-switching price impact; Markov jump system; Coupled differential Riccati equations.

2.

Compound Hawkes Processes in Limit Order Books

Number of pages: 20 Posted: 19 Jun 2017 Last Revised: 28 Jun 2017
Anatoliy V. Swishchuk, Jonathan Chavez-Casillas, Robert Elliott and Bruno Remillard
University of Calgary, University of Calgary, University of South Australia - School of Commerce and Department of Decision Sciences, HEC Montreal
Downloads 160 (467,092)
Citation 2

Abstract:

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Hawkes Process; Compound Hawkes Process; Regime-Switching Compound Hawkes Processes; Limit Order Books; Diffusion Limits; Law of Large Numbers