Department of Mathematics
A 5, 6
University of Mannheim
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Market impact model, optimal order execution, algorithmic trading, price manipulation, transaction-triggered price manipulation
Transient price impact, market impact model, optimal order execution, price manipulation, transaction-triggered price manipulation, Fredholm integral equation
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transient price impact, market impact model, optimal order execution, price manipulation, transaction‐triggered price manipulation, Fredholm integral equation
HJB, optimal execution, risk measures, market impact
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
arbitrage pricing theory, hedging, incomplete market, superhedging, Knightian uncertainty, model uncertainty, pathwise Itô calculus, variance swap, monetary measure of risk, convex risk measure, coherent risk measure, algorithmic trading
Order books, price manipulation, exponential resilience
Liquidity risk, optimal portfolio liquidation, block trade execution, limit order book, market impact model, nonlinear price impact, order book resilience, market order
Liquidity, illiquid markets, optimal liquidation strategies, dynamic trading strategies, algorithmic trading, utility maximization
limit order book, optimal execution, exponential resilience, price manipulation
Liquidity, liquidity crisis, liquidity provision, optimal liquidation strategies, predatory trading, sunshine trading, stealth trading
Price manipulation, transaction-triggered price manipulation, positive expected liquidation costs, dark pool, market impact model, optimal order execution, optimal liquidation
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
market impact, optimal order execution, Almgren-Chriss model, robustness, model uncertainty
Portfolio insurance, CPPI, DPPI, pathwise Itô calculus, gap risk, Knightian uncertainty, model risk, associativity of the pathwise Itô integral
market impact, transient price impact, optimal trade execution, drift dependence, robustness
Singular control, verification argument, capacity theory, optimal order execution, transient price impact, infinite-dimensional Riccati differential equation
File name: MAFI.
optimal portfolio liquidation, optimal trade execution, illiquid markets, differential game with state constraints
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